Control Panel>Power Options>Choose what closing the lid does and choose sleep. Closing the cover should put it to sleep in about 3 seconds and opening should wake it to the lock screen in about 3 seconds (or less, really almost instantly). As bosamar said you may need to remove and reattach the keyboard or reboot from time to time if this doesn't seem to be working but most of the time it should work.
Let me know how that goes for you. I'm also not having success with this option. My power setting has been set to Sleep the whole time when closing the lid and it doesn't wake automatically (after even 10 seconds). I always have to push a key to wake it up.
Maybe the missing support of connected standby could be the answer, since only ARM and Intel Atom-chips are currently supporting this feature and the gyro-sensor in the cover has to get some power and response by the system.