Balls go in the bag without the sleeves.
When I receive a dozen balls as a gift (I rarely purchase new golf balls), I typically go in and rearrange the balls so each sleeve has different numbered balls instead of all of them being #3, #2, etc.... When I need to supplement the supply in my bag, I grab a sleeve, mark them and place them in the bag. I don't want an over supply of balls with the #3 (or #2, etc...) since when I hit a provisional I like to use a different number. Making sure I put a #1, #2 and #4 in the bag makes it somewhat easier to grab a different number.