Sleep is essential for our physical and mental well-being. During sleep, despite the paucity of overt behavior, our brain remains active and exhibits a wide range of coupled brain oscillations. In particular slow oscillations are characteristic for sleep, however whether they are directly involved in the functions of sleep, or are mere epiphenomena, is not yet fully understood. To disentangle the causality of these relationships, experiments utilizing techniques to detect and manipulate sleep oscillations in real-time are essential. In this review, we first overview the theoretical principles of closed-loop auditory stimulation (CLAS) as a method to study the role of slow oscillations in the functions of sleep. We then describe technical guidelines and best practices to perform CLAS and analyze results from such experiments. We further provide an overview of how CLAS has been used to investigate the causal role of slow oscillations in various sleep functions. We close by discussing important caveats, open questions, and potential topics for future research.