Is there a way to close the MacBook lid and keep the web sharing running? I want to use the files on the MacBook, using other machines.
The Snow Leopard feature is called Wake on Demand.
I use my MacBook all day long with the lid closed and an external monitor, bluetooth mouse and keyboard and use web sharing, etc. Shut the lid and let it sleep, then plug in the keyboard (and/or monitor) and it wakes.
If you're not going to use an external monitor, I'd turn the display brightness all the way down, as the screen will be on when the lid is closed.
In my experience, uncheck "Wake with Bluetooth", as bluetooth can keep it from first going to sleep in order to wake it back up with the lid closed, and also keep it from sleeping when you do want it to sleep when not in use.