How to set Idle state ?

Asserting WAITREQUEST is unlikely to save power (it will still be sampled every clock).

Probably the only way to save power is to stop the cpu clock - and I suspect that is difficult.

There is the other question about what you are actually trying to achieve.

For a simple embedded system it is not unusual to not use any interupts, but just have the main loop check each hardware device in turn.

Interrupts are only needed for hardware that have strong timing requirements.

An ethernet interface will usually process a buffer ring, so there is no real need to take any interupts. Similarly even a serial port with a large enough FIFO can be polled.

If you don't use interrupts, you save all the cpu cycles used saving and restoring registers, and those vectoring the interrupt itself.

Of course, you could go the other way and leave the main processing loop being for (;;);, do all your work from ISRs, only allow one level of ISR, and then not bother saving and restoring any registers!