Knee sleeves are generally made from neoprene material and slide on over the knee. In simple terms, the idea behind the knee sleeve is to reduce pain. More specifically, the sleeve adds warmth, increases blood flow, limits patella movement, and can increase proprioception (the capacity to feel the position of a joint in space as sensed by the central nervous system). In other words, the sleeve is more than a mechanical support mechanism for the joint, but is also used to improve proprioception.
So yes, a compression sleeve is a great idea if you are working through an injury. If you’re issues are chronic, you might want to consider wearing some sort of protection every time you exercise. As always, consult with a trainer or doctor if you have any medical concerns.