Hold the Power button in until you see a pop-up with 3 options, "Cancel", "Restart" and "Screen Off".
I agree, however, with BlueOfTheNight that performing that operation probably uses more power than simply letting the device sleep. From observation over a number of years, it's never been possible to turn a Kindle completely off. On all the previous Kindles I've owned, background tasks have continued (although at a slower pace) when the screen has been turned off. My test for this was to download a number of books and then turn "off" the screensaver. When turned on some hours later, indexing had been completed.