Since so many of you have written in asking what the simple registry edit is which allows you to keep the phone on while using WiFi, I'm posting it here.

First get a registry editor, for example PHM Regedit which is free, or download the 14 day trial version of Resco File Explorer (excellent app!) which comes with a registry editor.

Use the editor to do the following:
Go to HKEY LOCAL MACHINE
-> SERVICES
-->WirelessMGR

Edit the WirelessMGR entry called mutexflag and change the value from 1 to 0.

That's the only edit!

Save your changes and exit.

Wait 15 minutes then soft reset the phone to reboot it.

You're all set!