Late night/early morning there are frequent police road blocks along the route between the Sheraton and Copacabana. They have been known to give tourists a hard time for not having visa/passport (or a certified copy) on hand ... though most of the time the taxi just rolls down your electric window for you so the police can see your face and your on your way without stopping.

Also consider Barra (the Hilton there used to have good rates) for a nice upscale place to stay. Note that in Barra you'll have the same issue noted above with this location if transiting to Impanema/Copacabana/Centro at night.