Just curious, where's the option in the menus?
I downloaded Android Notifier (was testing it with my desktop before)...and that app gave me the option to set the wifi sleep policy. I set it to never turn off wifi.
It's working, because I was using FileExpert's FTP server to transfer files via wifi between my desktop and the phone with the screen turned off.
EDIT: I found the sleep policy option, under Wifi settings > [Menu] > Advanced. I used Android Notifier's settings before I found this, so I'm not sure if that makes any difference.