I finally finished the knitting on the Finn wool jumper, and came to the dreaded making up. I don't think I've ever actually set in a knitted sleeve before, and wasn't looking forward to it.
I prepared by reading the Interweave guide, the Rowan magazine guide and consulting Helena, then using a mixture of all three techniques (mostly Helena's).
I used a yarn tie to match the top and bottom points, then pinned liberally parallel to the seams. I was going to measure lengths and divide precisely, but realised that matching the lengths by eye worked pretty well, and was much quicker. I used a mixture of glass headed pins and lace T pins, both of which worked well. I did try safety pins, but found they moved about too much.
I then started at the top of the sleeve and worked down to the bottom ie. did it in two halves. The theory is that if you end up with a fudge at the end, it will be at the less visible underarm, rather than the shoulder. I used a mattress stitch as recommended by Interweave. However, I have seen recommendations for each of mattress, running and back stitches, so take your pick!
In some respects, it was easier than sewing in a sleeve. There's no seam allowance so matching the lengths is easier, you can pin parallel to the seam, and of course you can ease as you go, stitch by stitch. It's seriously slow work though.