wifi module with MCU on one board
If you use an Arduino, the solution to this is a WiFly Shield, I believe. It actually uses one of those Roving Networks products you linked to. There's lots of links from the SparkFun page on how to use it too... it's about $90 from SparkFun, so it depends on your idea of "cheap" but it will satisfy your technical need at any rate and you can use the SparkFun EAGLE CAD files as a basis for your own PCB design - so at least you won't have to start from scratch to do your.