You can also not have your laptop go to sleep at all either, just blank the screen when you close the lid. Here are the settings:
"Do nothing" when closing the lid will still make it blank the screen. You won't be prompted to login when you reopen the lid either, your display should simply show up again. I use these settings because I want my housecleaning programs to run at night (updates, scans, etc) and don't want the laptop to go to sleep.
If you want to use the sleep function then follow Phone Man's advice and set the lower option to Don't require a password when waking up if you don't want the hassle of having to log back in.