When a budgie sleeps, he usually rests on one leg. The other leg is hidden somewhere in the bellyfeathers and sometimes budgies put their beak in their backfeathers as well. If a budgie sleeps on two legs, it could mean that he is getting ill.
If a budgie is resting during the day, he usually rests on one leg with his eyes half closed, making a soft crunching noise with his beak and twittering to himself (maybe some kind of lullaby?). This means that the budgie is completely relaxed and happy. You should not disturb them then :)