Amalthia, my name is Scott Fuentes and I work for SonySupportUSA. There are no menu settings that will change the actual way the switch works. If the Reader is on, simply sliding the switch to the right and immediately releasing will put it in Sleep mode. If the button is held to the right for more than 3 seconds, the prompt will appear asking if you really want to power it off.
For further assistance you can find contact information for customer support @
http://ebooks.custhelp.com/app/answers/detail/a_id/93
Thanks, Scott Fuentes
SonySupportUSA