I have heard a lot about this so called Dream Sleeve. It also makes a lot of sense, with Arkay being the god of the cycle of live and death after all.

But is there any MK-text or ingame book that explains the Dreamsleeve in more detail?

There isn't any one text, no. What we know of the dreamsleeve is pieced together from a handful of sources - off the top of my head the most relevant being the Mythic Dawn Commentaries, the Loveletter, and some conversations in Battlespire. If you want you can throw in the quest regarding Sovngarde in Bloodmoon and the definition of dreamsleeve found in The Made-up Word Roundup:
"The dreamsleeve is a conduit for sending special transmissions. Used by weirdo magicians and Imperial clerks, mainly. Kinda like myspace...only to reach it one must have at least part of their brain constantly meditating, because one aspect of the conduit is that it is able to carry images of concepts not yet "real"."

Granted, that's only a small fraction of what the dreamsleeve is.