I used to dread setting in sleeves. Despite all the careful gathering and redistributing of fullness, they never went in smoothly and I grew to hate the task. Until I discovered how easy it was to set in sleeves using strips of material cut on the bias.
If you fear this task too, I encourage you to watch this brilliant, short and to-the-point video showing how it's done (1 minute 19 seconds, no messing around):
I first saw this video on Rhinestones & Telephones during the Peony Sewalong last year and was impressed by how easy this method looked - and it really is. Although it seems like it might be more hassle to cut bias strips and sew them to the sleeve caps, personally I much prefer it to faffing about with thread gathering and find it both quicker and easier.
Watch it and never fear setting in sleeves again.