Sheila, I often have that problem too. What I usually do instead of sewing the sleeves on, is to just pick up my stitches around the armhole and knit the sleeve on, or crochet the sleeve from the armhole. This doesn't work, of course, for most adult patterns because of the shaping, but many baby patterns don't have such shaping.

Another option might be to use an elastic type thread of a similar color to sew the sleeves in instead of the yarn you used for the project.

I'm making a chemo hat right now of Elann's Esprit yarn. It is very inexpensive and comes in many colors and stretches. Check out their site.