Yes. You're transmitting using 1/10th of the power, thus you will save battery power.

However, of far greater impact are the powersave modes. Sadly, I can't use these with my router at home and as a result even at 10mW my battery is sapped quickly if I leave it on WiFi (as compared to 2.5G) at work where the routers are better I get about 3/4 a day (music, constant data traffic) with wifi on.