We don't do sleepovers. Late nights are the best way to go in my opinion.
As I remember, all the sneaking out, TPing of houses, and other general trouble behavior happened in the middle of the night at a sleepover.
I think with the way society is today, sleepovers should be a VERY RARE thing to happen. You cannot be certain that a good looking, nice sounding parent is, in fact, that when everyone's asleep and it's dark. Too many firsthand and secondhand stories on that one.
I'd say, do whatever you would do at any other birthday party. Fire up the movies, games, talent shows, do make-up and hair, have a fashion show, play charades or board games...just let the girls lead with their interests within your boundaries and wait for the parents to come get their little blessings. Oh, you can also have a stuffed animal contest or the PJ Awards where everyone gets a treat (prize) for various things--the most pink, the softest, the most fuzzy, etc... or do the same with slippers...treats can be anything from candy bars to stickers to pencils to simple certificates printed off the computer.
This also scales down the price in food because you're not feeding everyone twice...and, if there's a child with bed wetting issues, night mares or night terrors, or medications, you don't have to be concerned about attending to those challenges nor does the guest who is often torn as to what to do in wanting to participate but also being afriad of those things popping up in the middle of the night.
Like the other moms said: Call it a Pajama Party and it'll all work out smoothly.