Wifi drops when screen is locked
I had this exact problem, and I was pretty annoyed by it. I stopped "locking" my screen, and instead started "sleeping" display. The wifi stays connected when screen is asleep. I assigned "Sleep Display" to a hotkey using BetterTouchTool (http://blog.boastr.net/). 

Then, I went to System Preferences > Security > Require Password after sleep or screensaver begins. 

Now my hotkey puts my display to sleep, and then the computer requires password when I wake it up. So it's the same functionality of Locking my computer without losing wifi.