What I think works best if you do a sleepover is to have everyone in the same room, like the basement or living room or something, and have everyone sleeping on the floor! I'd imagine the new members might get grumpy if it was a "sleepover" at the sorority house and then all the actives went upstairs and slept in their own beds!
For Phi Sigma Pi, we always do a GattiTown night sometime during the new member period. All the new members go and hang out with the brothers, we play the games, eat the pizza, etc. It's always a fun time and there's always much rivalry at the air hockey table!
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