Is there a "better" sleeve length to wear with a shawl, ie sleeveless? Or does any sleeve length work? I have a black dress with short sleeves almost to the elbow and am wondering if I can add a shawl for the holidays.

Pam, Sleeveless and long sleeves would be best with a wrap shawl. You don't want the sleeves and the shawl's hemline competing with each other.
Perhaps a faux fur jacket/shawl (like the one in my just posted style article "Outfit Ideas for the Holidays) would work well? It's got 3/4 sleeves...perfect to wear over sleeveless AND short sleeves!
Hope that helps! Love, Leslie MSP