Backgrounder and KeepAwake together work well. But if you install Insomnia, you will not be able to have the phone auto-disable Wi-Fi when you lock the phone, even if Insomnia is off, KeepAwake is off and no application has been backgrounded. This means that, unless you manually disable Wi-Fi every time you pull the phone off the dock, you'll run your batteries to the ground.
You've been warned.
Alternatively, I've verified that, with the 2.2.1 firmware, Wi-Fi no longer goes off if the phone is on the dock, whether it's locked or not. This was my chief complaint.