Keep Wi-Fi on
If having Wi-Fi on all the time is a must because, say, you're downloading a 2-hour movie, you can either keep checking your phone to make sure Wi-Fi is still on or install the Wi-Fi Keep Alive app.
As its name promises, the app keeps Wi-Fi on when the phone is "asleep" or plugged in. You, of course, must turn Wi-Fi on initially and when done, turn it off.
Wi-Fi Keep Alive (free).