The sleep timer is set as follows:

In FM mode, press and hold the menu button until you enter the menu.

(Using the selection keys, you can go through the different menu items)

Menu->System->Sleep->Select number of minutes->Press Enter to activate. 

After the setting, you can only see the remaining time in the menu. You can no longer see the time on the display. This means that the active sleep timer is NOT shown on the display in clock mode.