It consumes some battery, but not a lot. If you move around a lot during the day and have your computer with you, putting it to sleep for a few hours now and then as you move around, you're probably not going to notice any difference whether you shut it down or put it to sleep. Overnight, you'll probably notice that it loses 5-10% of the battery if it's asleep as opposed to being shut down (obviously more as your battery wears out and loses its total capacity.) Still, 5-10% isn't that much.
If you're not going to use the computer for a few days, and it's not going to be plugged in, you'll probably want to shut it down (though it's fine asleep if it's plugged in; it doesn't draw a significant amount of power from the wall when it's asleep.)