Hold your finger on the home screen until a window pops up, then select "Add to screen", "Widget" and "Widgets On/Off", then select Wi-Fi.
Be aware that I'm running Wolfbreak's 2.3.3 so this widget might not be on the stock 2.3.3 from SonyEricsson, if it's not there search for other widgets and it should be in there with other options like Bluetooth, brightness, and sound.