There's no 'supposed to' about it; if that's how you feel most comfortable, it's fine. Personally I think I'd find it very uncomfortable. I'm very concerned to see people repeating the nonsense that sleeping in a bra increases your risk of or causes breast cancer. This is crap. Breast cancer, like all other cancers, happens when normal cells change so that they grow in an uncontrolled way. This uncontrolled growth causes a tumour to form. No item of underwear can trigger this process, no matter how long it's worn for or whether the wearer is asleep or awake. There are a number of urban myths concerning breast cancer and bras, and they're all nonsense - .you can't get breast cancer by wearing a badly-fitting bra either, or an underwired bra or any kind of bra at all.