arduino sleep

I'm trying to get my arduino Diecimila to go to sleep using the code from the playground: Arduino Playground - ArduinoSleepCode

According to the serial output, the device claims to be going to sleep, yet it doesn't behave as though it's sleeping. Maybe I'm misunderstanding the concept of SLEEP_MODE_PWR_DOWN mode, but I expected the arduino to behave as though there was no power attached - ie. the power led turns off, and any external functions cease.

This is not the case however. The serial output says "Timer: Entering Sleep mode" but the arduino still draws around 9mA of current, the power LED remains on, and any additional components (such as LEDs) remain on. The 9mA draw is average when I manually turn off LEDs prior to sleeping the device.

Is there something that has fundamentally changed about sleeping the arduino since that article was published?

Thanks in advance,
Tim