This must be phone dependent. I have my Blackberry 8900 on wifi all day and it maybe goes down by 20% in 24 hours. I'm currently in Mexico so I leave the GSM radio off and it seems that the battery lasts longer this way.
I believe when Wi-Fi is running that GSM data is automatically disabled. When you turn off Wi-Fi you'll see it takes a few seconds to re-establish the GSM data connection. I know you can turn off the roaming data. You may need a rooted Android ROM to completely disable GSM. Some people on XDA Developers have talked about that.
I use the "Secret Settings" app, which gives me access to all the test screens without having to remember the test codes. I can switch all that stuff in there, IIRC.