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).

I've been spoiled by the "flip the hard cover" sleep mode on the 770.

I just hope they bring back that hard cover on the next generation of IT.