With VDD = 5.0V, supply current of PIC18F4550 at 4MHz is typically 2.5mA (5.0mA MAX). In sleep mode it is 0.1uA (2.0us MAX). See table 28-2 of the datasheet.

So in sleep mode, current consumption is 1/25000 of that of run mode at 4MHz. To reduce power consumption - the intent of the OP - it makes more sense to use the Power Managed Modes of the device, which is what they were designed to do.

Any of the available interrupt sources can cause the device to exit from the Sleep mode to Run mode. To enable this functionality, an interrupt source must be enabled by setting its enable bit in one of the INTCON or PIE registers. The exit sequence is initiated when the corresponding interrupt flag bit is set. You can also exit Sleep mode by WDT time out.