when do they develop?
They are first visible from the 13th to the 16th week of fetal development then the Sebaceous glands develop from the same tissue that gives rise to the epidermis of the skin.
Sebaceous gland
Sebaceous glands are first visible from the 13th to the 16th week of fetal development, as bulgings off hair follicles. Sebaceous glands develop from the same tissue that gives rise to the epidermis of the skin. 
infection of the sebaceous gland and the formation of pimples Acne any particular place where these glands are found? In humans, sebaceous glands occur on all parts of the skin except the palms of the hands and soles of the feet.
wiki:7481274
Sebaceous gland [SEP] Development
Sebaceous glands are first visible from the 13th to the 16th week of fetal development, as bulgings off hair follicles. Sebaceous glands develop from the same tissue that gives rise to the epidermis of the skin. Overexpression of the signalling factors Wnt, Myc and SHH all increase the likelihood of sebaceous gland presence. The sebaceous glands of a human fetus secrete a substance called vernix caseosa, a waxy, translucent white substance coating the skin of newborns. After birth, activity of the glands decreases until there is almost no activity during ages 2–6 years, and then increases to a peak of activity during puberty, due to heightened levels of androgens.