p1 "I have a load of quarters but my bank doesn't have a coin machine and I don't feel like giving Coinstar a cut of my monies."
p2 "Put em in the sleeves yourself."
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Based on the context, I'd say P2 is using the term coin sleeve to refer to the paper wrappers used to roll coins.
After doing some preliminary research, however, I'd also wager some coin that the word "sleeve" is being misapplied in that context. A more accurate term would be coin wrapper.
A Google image search on "coin sleeve" shows that term is usually used for protective coverings used by numismatists to protect collectable coins, such as the ones shown below. Also, Macmillan's online dictionary would support using the word sleeve to describe such a protector:
sleeve: a paper or plastic cover that protects something such as a record or a book
All that said, I agree with the comments; I had no problem discerning the meaning based on the context, and I doubt I'd "correct" anyone for calling the wrappers sleeves.