Well, that depends. The wakelock is turned on only when scanning so it won't consume any more battery than if turned off while not scanning. Also if you, for example, have automatic scanning set up then with wakelock turned on, the scan gets done exactly at the time you wanted to. With wakelock turned off, it might take hours.
Simply said, you trade a little bit of battery for much faster scanning while the device is asleep.
Filip