No, fibrou is right. Under the Wireless Settings there's no longer an option to control when the wireless gets turned off. There used to be settings like "never", when the LCD powers off, etc. There's nothing like that there anymore.
This could be because some users were reporting wireless connectivity problems. I saw enTourage once respond that their wireless may be powering down to conserve power, but this resulted in the problem that it would always take a few seconds to re-establish the wireless connection when the user went to check email or browse (and/or the connection couldn't be reestablished on the first try).
Meanwhile, there's the little WiFi switch along the top edge by the SD/SIM slots where you can manually turn it off if you're not going to use it for a while.