Our baby is 5 days old. We have been sleeping her in a sleeping bag with arms inside. We have noticed that she roles onto her side using her legs and body. Is it best that she have her arms let out of the sleeping bag, as you would when 3-4 month old babies begin to roll over?

Most babies do not roll before 3 months, however some babies do roll, especially to the side, at a very early age.
Often these babies do not respond well to wrapping/swaddling & prefer to have their arms free.
I would try wrapping her with arms out , as you have suggested.
Always place baby on the back for sleep.

Red Nose does not recommend the use of sleep positioners.
Red Nose does not recommend positional products such as anti-roll devices and items that fasten a baby into a sleeping position.
Products that restrict the movement of a baby or a baby’s head should not be used.
https://rednose.org.au/article/is-it-safe-to-use-products-designed-to-keep-baby-in-a-particular-position