As with any other poem, of course, there are varying interpretations of what the poet may have intended to convey. Some have argued that with this paradoxical line, part of a 1953 collection which won the Pulitzer Prize (1954), Theodore Roethke (1908-1963) meant to portray sleep as a metaphor for death and waking as a metaphor for life. In that sense, living as waking leads to dying as sleeping. He wakes up to death, so he lives slowly, gathering awareness, growing, and pondering life (“going”). This interpretation jives well with the remainder of the stanza and the poem, which is essentially about the paradox of human life, that life inevitably leads to death. However, as the poet indicates, this is not something to be feared, because it is part of a natural process that we should trust.
For further reading, I would recommend the eNotes analysis, as well as the other websites listed below. I would also suggest looking into Roethke’s own personal history and how it may have influenced his poetry.