Settings -> Wireless and Network -> Wi-Fi Settings ...
Wi-Fi [On]
Network Notification [Off]

That's how mine is set up. Does not seem to affect battery use much at all.

When you want to surf I just tap "Internet". If it is connected to Wi-Fi it will use that, else it will use the 3G cell network. You should see the Wi-Fi symbol at the top if it is connected to a Wi-Fi access point.

Axiom M80s + QS8s + VP180 <-- Pioneer VSX-1120-K <-- Squeezebox Touch / XBox360 / Oppo BDP-93