You don't need sleeves - you can just finish in-set armholes off with elastic - but it's not much of a catsuit without arms. There are three major kinds of sleeve - in-set, raglan, and kimono. Of these only in-set and raglan particularly lend themselves to skin-tight clothing, and of those, in-set purportedly gives the best fit.
Sleeves themselves are essentially just a tube for your arm, but they have to join the body at the shoulder, which is the most mobile joint in the body, and therefore needs careful attention.