I've always been curious about this, actually. You would think using a wired headset would be a battery savings since you can turn off the bluetooth radio - but how does the power used by the bluetooth radio compare to the driver/amplifier that drives the headphones?
I really don't know the answer, but I'd be willing to believe either one. With bluetooth, the headphones are using their own battery to amplify, so you can call that a "power savings" since you aren't drawing off the phone battery. Bluetooth is a very low-power transciever, after all...