Both "My daughters are sleeping", and "My daughters sleep" are correct and accepted, as "sleep" is a good translation, but you feel it's unnatural, because there is no context here. It can be an habit: When I go home, on monday after the match, my daughters (usually) sleep. The more important is to know that it can be both sleep/are sleeping!
For "asleep", I think it's rather "soporatus" (like in soporific)
Filiae mea soporatae sunt.
(is it correct grammar?)