About Wake on Demand
No. It's not just a matter of keeping WiFi on. The app that you use to download will not run if your Mac is sleeping.
Caffeine can temporarily override your Energy Saver settings and prevent your Mac from sleeping, if you leave the lid open. To prevent your Mac from sleeping even with the lid closed, use
InsomniaX or
InsomniaT (rebuild for SL) (
fix for 2011 MPBs)