That won't work, since it will have to wake from sleep before running the ADCIN command.

I might suggest something like this...
It doesn't work in the simulator, but hopefully it will work on real hardware.

It uses the ADIF interrupt to wake from sleep. With the FRC clock, it only takes 48uS to complete a conversion.
Waiting for the WDT is going to take 1000uS or more.
The WDT is enabled just in case the conversion doesn't complete, but the ADIF should always wake it up first.

It assumes you are using other interrupts, and disables them accordingly.
Code:
#CONFIG
    __config  _CONFIG1, _FOSC_INTOSC & _WDTE_ON & _PWRTE_OFF & _MCLRE_ON & _CP_OFF & _CPD_OFF & _BOREN_ON & _CLKOUTEN_OFF & _IESO_ON & _FCMEN_ON
    __config  _CONFIG2, _WRT_OFF & _PLLEN_ON & _STVREN_ON & _BORV_19 & _LVP_OFF
#ENDCONFIG
OSCCON = %11110000           ; 32Mhz Internal

DEFINE HSER_RCSTA 90h        ' Enable serial port & continuous receive
DEFINE HSER_TXSTA 20h        ' Enable transmit, BRGH = 0
DEFINE HSER_SPBRG 25         ' 19200 Baud @ 32MHz, 0.16%
DEFINE HSER_CLROERR 1        ' Clear overflow automatically

ADON      VAR ADCON0.0       ; A/D converter Enable
GoDone    VAR ADCON0.1       ; A/D conversion in progress
ADIE      VAR PIE1.6         ; A/D Interrupt Enable
ADIF      VAR PIR1.6         ; A/D Interrupt Flag
GIE       VAR INTCON.7       ; Global Interrupt Enable
GIEsave   VAR BIT            ; Saves state of GIE

ADchan    VAR BYTE           ; Current A/D channel
ADvalue   VAR WORD           ; A/D result

ADCON1 = %10110000           ; Right Justify, FRC clock
ADON = 1

Main:
    FOR ADchan = 0 TO 16     ; Loop through all A/D channe
        ADCON0 = (ADCON0 & %11) | (ADchan << 2) ; Set Analog Channel
        PAUSEUS 20           ; Acquisition time
        GIEsave = GIE        ; Save state of Global Interrupts
        GIE = 0              ; Disable Global interrupts
        ADON = 0             ; reset A/D module
        ADON = 1
        ADIF = 0             ; Clear Analog Interrupt Flag
        ADIE = 1             ; Enable Analog Interrupt
        GoDone = 1           ; Start Analog conversion
        @ SLEEP              ; go to SLEEP
        ADIE = 0             ; Disable Analog Interrupt
        GIE = GIEsave        ; Restore Global Interrupt state
        ADvalue.HighByte = ADRESH  ; Get A/D result
        ADvalue.LowByte  = ADRESL

        HSEROUT [DEC2 ADchan," = ",DEC ADvalue,13,10]
        PAUSE 200
    NEXT ADchan
GOTO Main