If you are using DK wool you will need sequins with quite big holes. They need to be able to slide along the yarn without damaging it.
What you do is slide the sequins or beads on to the yarn in the reverse order to that you are going to need them in for the knitting.
Then you knit as normal until you need a sequin then slide it up the yarn and knit the stitch making sure the sequin is on the correct side of the work when the stitch is complete.
If you only need the sequins in small areas of the knitting I would recommend that you break the yarn at the begining or end of the row before you need them and then do the threading on so that you don't rub the yarn too much as sequins have sharp holes compared to most beads.
When I did sequin work they were on a bit of intarsia work so, as it was a different colour yarn, I could thread a few at a time.
With beads you can thread all the beads you need for the whole ball before you begin as they don't rub the yarn so much.