Problems with voltage using a few leds

Sleeping, sure. Maybe even with all the timers/ADC/etc turned off, but Lilypads normally don't do that.

PS: No capacitor on your gadget? Keeping a little ceramic capacitor charged would make the battery last much longer. High current pulses are bad for them, see: http://www.ti.com/lit/wp/swra349/swra349.pdf