I rarely sew knitted or crocheted pieces together. Most of the time, I crochet them together or sometimes knit them together.
For the sleeves, I pick up the side stitches and knit them on.
Knitting pieces together is easier than you might think. For example, at the shoulder, I leave the front and back stitches on the needle. Then there are two options:
Either you knit the front and back stitches together. Or you alternately pick up the front and back stitches onto a knitting needle. Then knit 2 stitches together and bind off as usual. This also results in a neater seam than sewing them together.
Here are a few photos to illustrate:
You can see it clearly here because the front and back pieces are different colors. The stitches are picked up alternately onto a needle.
Here, the front and back stitches are knitted together. You can also already see the bound-off stitches here.
And this is what it looks like from the outside—you can’t see any seam: