It depends. If you really are falling asleep you’re probably wasting your time. There is a chance that you aren't actually falling asleep but are instead experiencing a very deep state of relaxation and just aren't recalling the session.
Sometimes, especially if you've listened to the hypnotherapy recording a number of times and nothing eventful happens during the session, the session just isn't recalled. This is sometimes incorrectly interpreted as sleep when in fact it’s an effective hypnotherapy session that just not worth being recalled by the bored conscious mind. If something was worthy of being recalled it would be.
There is a “law of the mind” that recognises that repetition is very valuable to learning. This is why advertisers spend so much to have their adverts repeated so frequently on TV. It’s a good idea to keep listening to the recording with repetition if you’re not falling asleep.
If indeed you are falling asleep, you’re probably not getting much value from the recording. It might be a good idea to listen to the recording first thing in the morning when it’s more difficult to fall asleep.