Not sure if you are aware of why the shares disconnect. Sleep mode is not much different from turning your computer off - almost everything gets turned off, but the state of your computer before it was put to sleep is saved so it can return straight away when you wake it up. As the previous poster said, it probably doesn't auto re-connect your shares in case the network the shares are on isn't available when the computer wakes up.
A few ideas of how to get the shares back quickly/easily. Have the shares in your favourite servers (add them in the connect to server dialog if you haven't already), and use cmd-K shortcut in finder to get "connect to server" dialog. Or, if you open finder, click on network, then go to where your shares are. Drag the icons onto your dock (the section to the right of the line). When you click these icons in your dock, it will automount the shares.