For the chemise sleeves, leave them folded and sew the long edge.
Trickiness: if you are just using a plain seam, turn the sleeve right side out. You'll be joining the body and sleeve with right sides together. If you are using a fully enclosed seam, like a hairline or french seam, do *not* turn the sleeve right side out. Instead, turn the body inside out. The first line of stitch in your seam will have the wrong sides together. The seam allowance will end up inside the garment when you trim and finish the seam.
Open the top edge of the sleeve, and locate the notched area around the seam. This is the armscye.
Locate one of the armscye notches of the body. Match up the notches on the body and sleeve.
Sew along both sides of the notche, to join the sleeves and the body of the chemise. Turn right side out.
Next: the Neckline and finishing….