1) you can sleep in most sauna's
2) afaik that is not allowed, if your out your out, you have to pay the sauna fee again if you want to get back
3) i dont like to sleep in sauna's you will get even more tired cause you wont have a good sleep, there are some cheaper hotels in macau, and in a city like macau.. i think you want to be fit.. rule 1: dont gamble when ur overtired....
4) they have lockers, depends on how big your bag is... you sleep at the lounge area or if you have taken a mssage you can sleep in the massage room...
have fun in macau, and share the expereince