I have two 5g nanos; they rock, don't they?
Anyway, I've never had problems with this. Here's what I do: I put the music on pause, then click and hold the Play/Pause button, which puts the unit to sleep in a few seconds. A side benefit is that it preserves the current playlist, current song, and current position within that song. Press any button to wake it up, and it'll be paused at the point where you left off.
My 2nd gen nano (which I no longer have) also operated this way. I can only assume that Gens 3 and 4 did this as well. I have not played enough with the 6th gen to determine how it handles this.