if you refer yourself to these 2 pages:
http://developer.android.com/reference/android/os/PowerManager.html
http://developer.android.com/reference/android/os/PowerManager.WakeLock.html#release()
You should release the wake lock as soon as you can: therefore if your app is closing/pausing release it!
Also, word of advice, make absolutely sure you need a wake lock, when you need it and for ho long.
in my case I put one only for the in game screen to avoid the users screen going black while thinking (since it is an opengl app it takes a few seconds to fully load), but in the other views I release it.
Trust me when I say that it is annoying for a user to end up with a empty battery because an app was forcing itself to stay awake.