I have my N800 set to not re-connect automatically to wi-fi. So generally I just lock the screen and keys and put it away (after first glancing at load-applet-run to check that there's nothing unwanted consuming CPU). If I leave the premises the wi-fi will disconnect and stay off. Sometimes I'll switch off the wi-fi manually first, if I'm about to leave right away anyway. But mostly I just lock and forget.

If you have your wi-fi configured to reconnect then you will probably want to put it in offline mode first, in that case things are a bit more inconvenient I guess (until the soft power off issue mentioned by GeneralAntilles is fixed, in which case that could probably be set to be the default action when you hit the buttons).