Hi, Menu-settings-conectivity-wlan, then highlight your connection and select disconnect wlan from the pop-up screen.
Just to go one step further, you have now disconnected from your WLAN... it is possible that your phone is still "scanning" for available networks, which will drain your battery just as much because the wifi module is still active.
Go to:
Menu | Settings | Connectivity | Wi-Fi
If you see a list of available networks or a message saying no networks found, the scanner is still active. In this case, continue to:
Options (left soft key) | Settings and then set "Show Wi-Fi availability" to "never". This completely deactivated wi-fi scanning.
I have it turned off and I put the "Wi-Fi Wizard" widget on one of my homescreens which makes it very simply to activate/deactive without having to go through 10 menus.