Have a look at this Knowledge Base article here:
How to: Set sleep and power off settings.
Try that and see if that helps.
The main thing you have to remember is when you turn off your player, don't use the [On/Off] switch but instead, press and hold down on the [Play] button instead. It puts it into a 'quiet shutdown' mode and will keep the time settings you put in there. If you use the [On/Off] switch, it will wipe out your time settings so your timer off setting won't take effort because the time isn't set.