Hello Myles
Are you sure it doesn't work? I use that method for fading entities a lot.
BTW, I suggest you change your sleeptime so it's longer than the framerate or it won't work properly if you run the game in a window. So if you're running at 70fps, you want a sleeptime somewhere between that and 24fps, the speed of a movie, so your fade is smooth, so somewhere between 15 and 40 ms.
Cheers