The hard part is finding the fellowship--there aren't that many and it's hard enough for the neurologists to get them. Research is highly recommended, according to the sleep docs I have spoken with. One circuitous way in is to do a year of clinical and a year of research outside of a specific funded fellowship, but ally yourself with a sleep clinic that does not offer a fellowship for your clinical segment and apply for $$$ via the NIH for your research year. At least that is what I heard from a sleep clinic director recently.
It's a fantastic field once you get there, if you are interested in parasomnias and behavioral tx for sleep disorders...plus, the meds that are on the horizon are fascinating. I think you could learn a lot by scheduling an information-type interview with a doc at a local sleep center, if you have one, esp. regarding salaries and the like.