Blocking prior to putting sweaters together is easier - you can ensure that the pieces match exactly.

I use the mattress stitch up the sides and on the long seam running down the sleeves.

On the seams at the top of the sweater, along the shoulders, use an invisible horizontal seam. Here's a link: http://www.studioknits.com/bookpage61.htm

Here is a great tutorial on sewing the sleeves in: http://www.knittingdaily.com/blogs/needles/archive/2010/03/18/seaming-a-sleeve-cap-tutorial-part-2.aspx

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There is an enormous discussion on Ravelry about blocking. You should join; it's free. The discussion is on the technique board.