The Innerwear fit when brand new can be on the snug side. This will loosen up for a more comfortable fit over the first week or so of use. You can then start to experiment with the sleeves layered over top. However, if the fit is obviously too tight you might want to consider a resize.
The Innerwear purchase comes with a single Retainer Band. If you ordered an individual set of Retainer Bands, then yes, you should have got to in the package.