I have noticed that the device is smart enough to only use GPS when an app needs it, which means only when you are using the app. The GPS indicator does not illuminate until I activate an app that wants to use it.
Also, you only have a GPS receiver, not a transmitter, so battery usage is minimal. The thing to keep an eye on is applications that want to maintain your location regularly (Google Latitude, Maps, etc.).
I have used my device with GPS on and off and have noticed no measurable impact to battery. It's the apps that use it that consumer more batter (using the radio for mapping updates, etc).