In plain words
This is pramoda. When someone tells you about a fruit you like, you feel some Ānanda. Or when someone describes a person you love, you feel great Ānanda. The reason is your very fondness for that person, for that thing. So we called this priya. If you catch sight of this thing when you go to the bazaar, still more Ānanda comes there. If you take the thing you saw into your hands and enjoy it, still more Ānanda comes. The joy that comes when the Śāstras, the Upaniṣads, the Itihāsas and the Purāṇas describe God's divine powers, divine glories and divine Prema: that is what they called priya. The Ānanda that comes when you put what you heard into practice, they called moda. The Ānanda that comes when you become one with that divinity and experience it is eternal Ānanda; that is pramoda. To hear about God, to put what you heard into practice, to bring what you practised into experience: this is priya, moda and pramoda. That is why this Ānanda is the fifth sheath.
Why did it get the name sheath? They got the name sheaths because one is held within another. We put a sword in a scabbard. Then the scabbard is called a kośa. Husk is joined to the rice. It keeps it covered. This husk is a sheath. The tamarind pulp is a cover for the tamarind seed. Only when that pulp is taken away do we see the tamarind stone. So for the tamarind stone the pulp itself is a kind of sheath. In the same way the baby is inside the mother's womb. That is why it is called the garbha-kośa, the sheath of the womb. One thing surrounds another, and the sheath covers it so that its form and name are not known. That itself is called a sheath. Within the annamaya, the prāṇamaya is there as a sheath. The annamaya kośa has covered over what is prāṇamaya. Within this prāṇamaya kośa, the manomaya is held. The prāṇamaya kośa has covered the manomaya kośa. Next, the vijñānamaya. It is held within this manomaya kośa. This manomaya has covered over the vijñānamaya. In this vijñānamaya kośa the ānandamaya lies hidden. The vijñānamaya has covered over this Ānanda. In this ānandamaya kośa itself the Ātma dwells. The Ātma is bound up with all these sheaths; and since these sheaths are there in every man, and in the man of every country too, this is common to all alike. In this there is no room at all for difference. So the search for the Ātma is common to all living beings. It carries an equal right. Only, that longing must come. 'I must attain it.