I prefer to sew it on after - NOT as part of the binding.
It hangs much better if the sleeve is down a bit from the edge - I usually place it at least 1" down.
Make sure to include a bit extra (1/4"-1/2" ) .
(see step 6 in the directions below).
Here's one method:
http://quilting.about.com/od/decorat...ilt_sleeve.htm