How does Download Later work?
You have to close the eShop and keep the system on the HOME Menu, but other than that, there really isn't anything else to it - it just needs an Internet connection.
However, note that the eShop can sometimes be extremely slow to download from. You may be in for quite a wait; I've once waited about an hour for one of the demos to download.
If all of them continue to stay stuck at 0%, try canceling them and queueing them up again. You might also want to just download them directly from the eShop, without using Sleep Mode; this seems to occasionally work a little better.