It's just the LCD backlighting that's turned off, which does save a lot of battery life.

First, add the Power Control widget to your LCD home screen (tap-and-hold an empty area on the LCD, select "Widgets", then "Power Control"). To turn off the LCD, tap the Lock symbol (the one on the far right).

You can also set a screen timeout using Menu - Settings - Sound & Display - Screen Timeout. For longer timeout options, you can install the "MySettings" app from SlideMe.org.