In Bredon's Topology and Geometry we find the following definition for covering spaces and maps:
A map $p: X \to Y$ is called a covering map (and $X$ is called a covering space of $Y$) if $X$ and $Y$ are Hausdorff, arcwise connected, and locally arcwise connected, and if each point $y \in Y$ has an arcwise connected neighborhood $U$ such that $p^{-1}(U)$ is a nonempty disjoint union of sets $U_\alpha$ (which are the arc components of $p^{-1}(U)$), on which $p\mid_{U_\alpha}$ is a homeomorpism $U_\alpha \to U$. Such sets $U$ will be called elementary, or evenly covered.
Why does it follow in the above setting that the sheets are actually the arcwise connected components of $p^{-1}(U)$?
Since $p^{-1}(U) - U_\alpha$ is a union of open subsets of $p^{-1}(U)$, it is an open subset of $p^{-1}(U)$. Also, $U_\alpha$ is an open subset of $p^{-1}(U)$. It follows that $U_\alpha$ is a disjoint union of connected components of $p^{-1}(Y)$, and therefore also a union of arcwise connected components.
However, $U_\alpha$ is homeomorphic to $U$ and is therefore arcwise connected. It follows that $U_\alpha$ is an arcwise connected component.