I never turn it off. The phone is very efficient at only using the radio when it needs it. It typically uses about 8% of my battery (about the same as idle cell radio). The only large battery consumer is screen, and I keep my brightness all the way up. It uses wifi when you bring up GPS (to kickstart the location identification via its database of publically visible wifi networks) and you'll get a request to turn it on whenever you use GPS if you default it off. I find the small battery drain to be worth not having the hassle.
Leaving WiFi on all the time will use battery. The question is--does it make a difference? I don't think so. I've got1 day, 9 hr., 54 min. on my last charge, WiFi has been on 100% of the time, and has used 15% of my battery, but I have 30% battery remaining.
So to make the numbers easy to work with, let's say I've got 33 hours of use on this charge and 33% battery remaining. With similar usage my phone should run out of battery at 49.25 hours. (I would not let it get that far discharged, I'd probably plug out in at hour 46.)
This means that WiFi has used 15% of 49.25 of those hours, or 7.4 hours. So if I never turned on WiFi I would get 56.6 hours of battery life, instead of "only" 49 hours.
I say leave it on all the time. Not worrying about battery management is one of the nice things of having the monster battery in the Maxx HD.
I leave Bluetooth and GPS on all the time as well.