In most cases, you can sew sleeve and side seams at the same time, the way you did on your first sweater. As you suspect, it's a lot more fiddly to try to get a tubular sleeve into a round armhole. (':shock:')
There are times when the second way may be better: for instance, if you're doing a fancy sleeve with puffs or gathers, or have an unusually shaped sleeve cap. If your sleeves and armholes are "normal," the first way should work just fine.
The more you knit the more you realize that directions aren't gospel. If you know a better way to get the same (or better) results, go with it.