Step 33 Tells you, "Stitch each Sleeve to garment matching notches." The notches are what you made when you cut the sleeves out. The body of the garment has a notch which erupts from the edge of the fabric, and the sleeve has a notch which goes inward, if you followed the cutting line at the fold of the sleeve.
To explain attaching the sleeve in more depth, lay the shoulder of the garment on the table with the right side up. Lay the right side of the sleeve on to of the garment and match the notches. With the way this pattern was laid out, the fold of the sleeve pieces is the notch that you will be lining up. Then line up the edges of the sleeve on both ends. Pin the sleeve in to place. Stitch the sleeve to the garment using a 5/8" seam allowance.

Step 34, asks you to, "Double stitch and trim seam allowance to 3/8" (1.0 cm). Press seam towards Sleeve.
To translate: Inside the seam line that you made to attach the sleeve, sew another line of stitching approximately 1/8" to 1/4" from the first row of stitching, on the seam allowance, not on the garment. Then trim the seam allowance leaving 3/8" of seam allowance on the garment. If your fabric is prone to unravel or if it frays you may want to zig zag or serge the trimmed seam allowance.

Step 37 says, "Center each Belt loop over each upper notch on Front matching cut edges." The diagram on the directions show you exactly how to place the loops. Step 38 tells you, "Machine baste Belt loops to Front 1/2 inch (1/3 cm) from edge." This is done to hold the loops in to place when you join the side seams.