Unlike some other MP3 players, Apple has designed the iPod nano to automatically save battery life, as soon as possible: this means that putting your iPod nano to sleep is exactly the same as turning off (shutting down) your iPod nano: both actions save battery life, and are automatically performed. The "SSD" flash drive the nano uses requires virtually no power to remember where you were when you wake your iPod. This tutorial includes several tips to prolong battery life, and get control over shut down / go-to-sleep timers.
Your iPod nano does not need any help to go to sleep: the next section explains how to manually put your nano to sleep, but the gains in battery life are marginal. The main control you have over battery life, short of how often your iPod goes to sleep and wakes up, is how you customize your Backlight settings, and the screen brightness level you use (customizable).
Tip: To make sure that your iPod nano stays asleep, do press the Hold switch to prevent an accidental wake up. Your nano will ignore any action (intentional or not) on the Click Wheel as long as the Hold switch is in locked position (pushed towards the center of the nano).
Tip # 2: Another way to keep your iPod nano asleep is to purchase a rubber protective cover: while a "naked" nano will regularly wake up in your pocket because of accidental contact with the Click Wheel, this will hardly ever happen with some kind of rubberized case.
To manually put your iPod nano to sleep, press both the Center button and Play button (bottom of Click Wheel) and hold them down for about 5 or 6 seconds. Make sure that you do not press and hold Center and Menu (top of Click Wheel), as this will restart your iPod nano. Read the next section to put your nano to sleep from your home screen.
If you want to keep control over how soon your iPod nano goes to sleep (effectively "turned off"), you can add a Sleep command to your main menu: this allows you to put your nano asleep as soon as you want, rather than having to wait on your current Backlight settings and/or the few seconds the nano stays on after the screen's Backlight turns off.
Your home screen (main menu) now displays a Sleep item at the very bottom; scroll down to it and click: your iPod nano goes to sleep (shuts down) immediately. To be clear: this is a way to turn off your nano faster, but it is not required, since your iPod will go to sleep automatically, on its own.