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As for sleeping, ours had their own rooms once they quit sleeping in our room. So no experience there. Except I was always cautious about creating sleeping habits that would need to be broken latet on.
First, they do really get along quite well and enjoy being together. We've handled the sleepover thing so far by allowing them to have planned sleepovers and reiterating to our son that he needs to come to us if he needs something instead of sneaking out of his room. I'm trying to be more emotionally available for them; it's difficult for me because it wasn't modeled well in my FOO. I can see the detriment it's had on me and my relationships and I want to break that generational cycle!
Second, we're very intentional about positive body image. Wifey suffers from poor self-image from a variety of sources, a big one being the negative comments she heard from the women in her family about their own bodies. We've already had some discussions about privacy and private areas of the body always with the explanation that it's not wrong or dirty, just private. I think the co-bathing thing is probably nearing its end, Wifey and I need to have a discussion about it so we're on the same page when it comes up.
I don't know that this addresses your question much, other than to say that I wouldn't worry about any damage having been done to this point. If the genders were reversed I might worry sooner than with an older sister and a younger brother, although even then I think you have a little time. Believe me, at least in my experience, no matter how aware of her development a girl is, she is unlikely to have any interest in exploring that side of herself with a little brother. With an older boy and younger sister, I would defer to the opinion of a man who has memory of his own or his friends' experiences with that situation. FWIW, my daughter and the neighbors never crossed over from free-range playmates to any sort of mating play. (We also live in the country, surrounded by cows, and they spent a lot of their time exploring fields and a creek and examining all sorts of wildlife, so probably saw each other as just another interesting specimen.)