This is a tough balance, and battery savings is going to be conditional on various things.
First and foremost, if you never run any apps that pull data in the background, having WiFi turn off during sleep is the best way to go. Since you are not using any sort of data connection, it's a no-brainer that turning off an unused radio is going to save you some battery. Of course, very few people do that. But just sayin'...
If you do, like 99% of us, have apps that pull data in the background, then your battery use is going to depend heavily on the amount of data you pull, how strong your WiFi signal is, and how strong your Mobile data signal is. If you just have a couple of apps like email and weather polling for updates occasionally and you are in a nice strong mobile signal zone, the overhead of keeping WiFi on all the time isn't worth it. That goes double if the WiFi signal is at the ragged edge of acceptable and keeps cutting out.
If, on the other hand, your apps are going to be moving a lot of data about in the background *or* you are looking at 2 bars or fewer and/or are using an older protocol like 1XRTT or EDGE (and especially if all are true), that mobile connection is going to drink battery faster than a thirsty camel at the first oasis it's seen in a month.
But, most importantly, if you are on a limited data plan and you tend to push the limits of your plan and overages are expensive, there may be more important details than a few percentage points of battery consumed by having the WiFi radio on when not in use.