Characters need 8 hours of sleep to recover attribute damage or soul drain. They lose a grade of fatigued for every hour of sleep.
As far as staying up, I don't think there are specific penalties. I'd say a character who isn't getting at least 5 hours of sleep a night on average is going to be taking some extra stress damage.
Apparently the record for staying awake is 11 days.
I'm tempted to say that after 12 hours of being awake, 1 point of stress per hour is appropriate. Maybe call for a saving throw versus stress damage every 12 hours. Even if you miss the first five saves, you're still able to stay up 3 days.
If Mythbusters is to be believed, catnaps make it easier to stay alert at least for a day or two. I guess the real question is why are the players not sleeping? If it's a heroic reason, let them stay up for a week and only make saves/resolve checks when it's important. If they're just being silly pile the stress damage on until they run for the covers.