We did Maddie's last party as a sleep over (7 years) and we'll be doing it again. Think about it - a couple of caffeine free sodas at dinner and cake time. Domino's has $5 pizzas - and they don't eat much once they get together. I made a dirt cake but I used really pretty flowers from the dollar store and the girls loved it. I got their gift bags from the dollar store - I just made sure that I was picky enough to not buy the kind of stuff that their parents would say, "Oh, great, they got you a bunch of stuff that I need to throw out when you aren't looking." I got all of my streamers, balloons, and banners there. It was really cute. They just went crazy. It was loud and they got cranky by the end of the night, but no big deal.
My favorite memory growing up was slumber parties. Then year after year they'll start in with the ghost stories and scaring each other before they all get too old to hate each other. We had no problem letting them go crazy - they're so restricted at school we thought, why not let them go wild? We had to draw the line a couple of times, but it wasn't bad. They didn't want to sit still for games - they were too excited! We were tired, but it was worth it.
Homemade pancakes in the morning (I took the who wants chocolate chips in theirs order the night before - I have an excellent, easy recipe that wipes alway box pancakes) and a little Juicy Juice or milk. It was very affordable. We had pizza left for a couple of meals (kind of good, but kind of bad too!).
Another mom did one and broke out the nail polish and braided the girls hair on her own - the girls loved it!
Not only that, but you're encouraging you're girls to get closer to their female classmates outside of school in a much more intimate way - they're hanging out all night together instead of just a couple of quick rushed hours at some rental place! I've ran into a lot of lazy parents that just use their children's siblings as their friends and don't let them get out. With my daughter being an only child it's so easy to see (I had two siblings and we were each other's friends - when I went over someone's house I was timid). It's special when she gets to bond like that.
They may hate each other in the morning for a little bit, but they'll talk about it all week. Plus you're giving a lot of parents a night off - they just may remember that!