Sizing is very important and must be accurate.
Consider why you need to wear the knee sleeve, for weight trainers, runners, gymnasts the needs can vary.
It is a good idea to talk with a physiotherapist and get some good pointers. Take your time while choosing a size which works for you. Try on a few brand products, move around while wearing the sleeve, see if it feels comfortable. Also, choose a sleeve which is specially designed for your choice of activity or sport.