I have never seen a Lutheran pastor on Yahoo Answers, but I'm starring this so an elder on my contacts list might see it and provide a more scholarly answer than mine.
Some liberal Lutheran denominations such as the ELCA may not hold the views described here. What I am describing is the traditional Lutheran view, which is held by denominations such as LCMS and WELS.
<<<Does the body remain in the grave and the spirit return to God until the second coming when it will be reunited with an immortal body and be judged.>>>
For persons who die in a state of grace, yes, except the part about "returning." We do not believe in the preexistence of the spirit, and so this condition of being with God is a new stage in a person's existence, not a "return" to anything.
<<<Does the soul and body remain in a sleep state until the second coming?>>>
Not the soul; only the body. We have a manner of life in Christ by which we are conscious and in direct fellowship with Him even though our bodies decay.
<<<Do they believe the damned suffer eternal punishment in hell or that the wages of sin is death and the damned will be thrown into the lake of fire where they will be destroyed totally ( not actually suffer burning fire forever)?>>>
A Lutheran would say that the either-or choice you provide is dividing the issue the wrong way. Therefore, I will need to describe what we actually believe, rather than choosing one of your options.
The wages of sin is indeed death. And yet Jesus has told us that *all* persons will be resurrected (John 5:29). Since the resurrected body cannot be destroyed, we are left with what has always been the Church's teaching: that those who die in their sin will be resurrected to what we sometimes call the "second death."
The second death is not an event of total destruction, since a resurrected body cannot be destroyed. Rather, the second death is an eternal state of death--death as a conscious condition rather than an event. The Bible describes this as being burned in a fire eternally; some Bible-believing people argue that this is a metaphorical construct, but even if so, it is an utterly true one. It will be an eternity of inconceivable torment.