Sew the pillowcase to the top of the flat sheet, lining up the opening of the pillowcase along one of the sides of the sheets. Do this by sewing from the inside of the pillowcase to the top edge of the sheet. It's a bit tricky to get right to the end, but it's not really necessary. Having the pillowcase sewn in makes it easy to keep the pillow in place while sliding around on an air mattress.
