I would like to know, how do we continue the
salat if we have joined the jamaat late and few rakats have missed, and the imam performs a sajd-e-sahw ?
Should I also perform the sajd-e-sahw, and get up later for next rakat?
You follow the Imam in all aspects, including Sajd-e-sahw, till he finishes his prayer and you continue with your own. Hence, you need to perform the Sajd-e-sahw with the Imam. This is per the Sunni fiqh. And Allah(swt) knows best.