My orthopaedic said I have some arthritus in my knees, is it o.K to wear a neoprene sleeve over my knees.?

Yes. It is okay, but will most likely not do much for the arthritis. If you have just minimal arthritis, and you feel it is giving you a little extra support, then definitely do what ever feels better. However, make sure to give your knees some breaks and do not get to the point where you depend on the sleeves. Try hamstring stretches and quad strengthening as well. Best of luck!