I haven't read very many of the mangas (but I'm trying to get ahold of some more), and have only read the odd volume here or there, only one of which had Sesshoumaru in it. But from what I understand, Sesshy first appears in Volume 2. He also appears again in Volumes 7, 13, 14, 16, 17, 19, and more after that.
You might notice that in the mangas that have been translated into English, Sesshys's fluffy... uh... *thing*... is on his left shoulder instead of his right. It's a bit odd seeing Sesshy like that, which is why I don't buy the English mangas, instead preferring to buy the original Japanese editions and getting a translation.
I preffer the mangas to the show, both because the show edits out a lot of the original content, and because the artwork of Rumiko Takahashi is so beautiful.