I have done - in fact I did last night. Sleep in it - not have sex wearing it. Just thought I'd clarify. I ended up staying at a friends house, she didn't have any make-up wipes, and yeah, it was just easier.
I tend to avoid leaving it on over-night though. But there are some occasions when I do just either from forgetfulness, being too tired not to, or just not having the stuff to do it. As for having sex with make-up on ... it depends when I'm having sex. ie. having sex first thing in the morning then there'll be no make-up. Having sex mid-afternoon - I'll be wearing make-up.
I have and probably won't do it again. I hate how my skin feels in the morning when I left my makeup on. And after a few times, my skin is more prone to breaking out. So yea.. I don't really suggest it but I'm sure there are girls out there that doesn't bother them.
And as for sex, sometimes I do. But do I intentionally apply makeup before sex? No.
Well they say that wearing makeup to bed isn't good for your skin because it can cause pimples and oil to build up. Also they say it can make you look older over time if you constantly wear it to sleep. But wearing makeup while having sex doesn't do anything really as I know just don't wear it to bed.