I was talking with a friend about the WIFI sleep policy yesterday. By default I think it is set to "turn off WIFI when screen is off", which is probably a good way to have it set. However, if you open up the DLNA app it will put up a somewhat cryptic dialog box about "never turning off wifi for better DLNA performance". If you press OK I think it changes your WIFI sleep policy to "Never". I would change it back to the default--could save some power.
Personally I wouldn't want WIFI at all if I had to turn it off when the screen is off. Part of the deal here is that WIFI is faster and more efficient. If I have to download updates etc and have WIFI available, it is generally better to use WIFI. If however I have to keep the screen on in order to keep the downloads working, then there is an added cost. What would be a smarter approach IMHO is if the radio would cease trying to connect if there isn't a network I've approved available after X amount of time. It can pop up every X minutes and check again, but if no network, it should shut down. This is essentially what Juice Defender professes to do, though it also professes to have location/learning based means to turn the network on.
So while it may save some battery if you set it to turn off when the screen is off, you might as well never turn it on as far as I'm concerned.