It depends on what level of sleep it is going into.
If it is just blanking the display, then everything else is still running, and you are using up the battery. But the typical action on "close lid" is to hibernate. In hibernate the system writes all the memory (and some other stuff) to a file on the drive, and then turns the system off. When you open the lid, the system wakes up, sees it was hibernated, loads the file it wrote to the drive, and continues on from where you were.
In terms of battery hibernation is the same as turning the system off.
It will take up space on your hard drive with a file that is about the size of your system RAM. So if you have 16GB RAM, and only a 128 GB SSD, then that hibernation files takes up an eighth of your drive. (but who has 16GB of RAM and only 128 GB of storage)
If you go into the Windows system power settings then you can check what the "close lid" action is.