Avoid the cheaper sleeves, they tend to mat and hold less paint. If you want a smooth finish, choose the short nap or pile of no more than in. The general-purpose naps are in. This size is good for concrete floors, getting into cracks and crevices. A pile of in. works well on rough stucco.
Sleeves come in different fibers.
Oil base paint works well using lambs wool. Water-resistant paints will need the fiber of Dynel. Polyester or acetate can be used with either. Mohair covers give a smooth texture-less finish and can be used with varnish and enamels. These metal grids can also be used in paint trays.