This is from a native speaker's show ellen and victoria (see:1:10-1:15)
Ellen: What do you sleep in at night?
Victoria: Heels.
I could not quite understand what she meant by her question. It just did not make sense. I looked up "sleep in" and verified that it means "getting up later than usual time in the morning". But then why does Ellen say "...at night?", because a "sleep in" is something that can only happen in the morning.
Another meaning is "to sleep in the workplace.", which again does not seem to make sense.
Finally, what is she really asking about by using the question word "What"? "What" does not make sense in terms of "getting up late". We don't ask anyone "what do you get up late?", do we?
So, is she asking about "What TV program" does she watch at her workplace that causes her to wake up later than usual the next morning?