It doesn't really matters much. Only the slightly different battery usage.
If you have wi-fi signal and can connect, use wi-fi for data transfer uses less battery than 3G. If you don't have wi-fi signal, the phone will constantly scan for wi-fi networks which in turn uses a little bit more battery than just turn it off.
Also, in wi-fi sleep policy, choose 'Never turn off wi-fi when phone screen goes off' will save you some battery juice and data usage if you use wi-fi network by avoiding contantly turning on and off the wi-fi.