Various strategies. Some never really sleep but rest parts of their brain while they remain awake and mobile. Some species can rise, breathe and sink again without waking up.
Some can hold their breath for considerable amounts of time and sleep in 20-minute spurts only to wake up, rise, breathe and if necessary sink back and nap again.
And some simply stay at the surface while they’re sleeping. Sea otters for instance just float on their back while they sleep. And they tend to hold hands so they don’t drift away from each other.
Different species have different tactics. Dolphins will only sleep with half their brain for 2 hours a piece, remaining still enough that it is called logging. The awake half literally keeps one eye watching for predators and will surface for breath.
https://www.scientificamerican.com/article/how-do-whales-and-dolphin/
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