My experience has been that Wifi is usually better on your battery than weak 4G (or diminished 4G due to being inside buildings, etc.).
Personally, I just leave my Wifi on all the time and it connects automatically anytime I'm within range of my home Wifi. When I leave it automatically transfers to RF Data. Basically seamless. Improves battery, improves data reliability inside the house, and saves the quantity of data going through VZW (if you sign up for one of the new non-unlimited data plans this would really matter).
I've found Wifi is a LOT better as long as it's actually connected. If I leave Wifi on after leaving home it seems to drain pretty fast searching for a signal...
I just have the widget on my home page to let me turn it on and off easily. One of these days I'll get one of the apps that does it automagically based on my location.
If you're running Froyo (i.e. stock OS), then yes...by a lot.
With the GB Roms, wifi seems to use a bit more power than it does with the Froyo Roms. I'm assuming this has more to do with the kernel and/or radio, so that may not be the case once we actually get a polished official GB for the Thunderbolt.