S.T.
we had the same issue - no good solution - just teach him how to poke the sleeve back in after he takes it off or teach him to hold the cuff with his opposite hand while he pulls his arm out. Tell him - "look at this cool trick I just learned! makes it so much easier when it's time to go outside". It's right next to the lesson about putting mittens in the pockets!
In the scheme of things it's an annoyance and not awful. This is how we learn about what not to buy next year.