My experience with MyWi is that it does not waste through battery.
Like MikePA mentioned, lower the power to 30%.
Also after you turn on MyWi and it is initialized then put your phone to sleep, MyWi will still work and with the screen off it will last a long time.
In my experience on my iPhone 4, it lasted me hours with plenty of battery left to spare when I was finished.
It is definitely an amazing app worth the money.
This^^
Its not that serious guys as there are options, as TheDay mentioned above.
MyWi works perfectly fine as you can dang near tether anything with no fus.