Setting a sleeve can be daunting, but this is my go to method to ensure success each time:
1) Sew the sleeve inseam with right sides together. Repeat for opposite side.
Ugh, serger is on the fritz so bear with me as these edges don't look much better than raw.
2) If you have a (dirty/much loved) sleeve board, it's helpful to use when you turn up the hem. Iron it flat then stitch all around.
3) Add two parallel rows of basting stitches to the sleeve cap.
4) Pull the ends to create gathers. Smooth out the cap so the gathers are gone, but you are still left with a roundness to the cap.
5) Sew the sleeve into the armhole.
6) If you plan on making a sleeveless Paloma follow the same steps as day 3 back neckline finish to make the armhole edges look nice.