When you download books your Kindle will re-index. This uses up a little bit more battery and temporarily slows down your Kindle. It's only brief though, and very often you will hardly even notice it.
If you download a lot of books at one time - for example, if you order a lot at one time while shopping from your computer and then turn on your Kindle's wireless so they all come down at once, or transfer a whole ebook library at one time - then it can take a bigger toll on your Kindle's battery life and processing speed.
Each book needs to be indexed for your Kindle. Once they are downloaded you can turn off your wireless. That in itself will help preserve battery life, but the indexing will still go on in the background even if you put your Kindle to sleep. That could potentially drain the battery, so when you turn it back on a few hours later, you're shocked to see it almost dead.
To avoid this, when downloading a lot of books plug your Kindle into to charge. If you are out and about without your charger, instead of putting it to sleep, turn it OFF instead, (slide power switch for 7 seconds) until you can get somewhere to plug in and save the battery.