The correct sentence is 'I want to sleep'.
The only verbs which are usually followed directly by the bare infinitive of the verb ("sleep") are modal verbs, for example:
I can sleep
I must sleep
I should sleep
All other verbs are followed by either the infinitive with 'to', for example:
I'd like to sleep
I decide to sleep
or the gerund ('ing' form), for example:
I enjoy sleeping
Some verbs can take either the 'to+infinitive' or the gerund form.
You can never follow 'want' with a bare infinitive. It is always incorrect to say 'I want go' or 'I want see', for example. You always need the 'to'.