What happens when "Pretending to Sleep" is drawn from the encounter deck during the staging step when you are on Stage 3B of the Lonely Mountain scenario?

I assume that since Smaug the Golden is out of play, you don't place a progress token on him. Do you advance to Stage 4A though? And if so, is X the number of progress tokens that were on Smaug the Golden when he was moved out of play?

No you wouldn't advance to stage 4 because the card uses the word 'Then'. From para 1.15 in the FAQ:

'If a card effect uses the word "then", then the preceding effect must resolve successfully for the subsequent dependent effect to resolve.'

As Smaug the Golden is out of play, you can't place the progress on him so therefore the preceding effect doesn't resolve and you can ignore the text after 'Then'. The Surge still happens though. Hope this helps!