Solution with no cable swapping needed
I realise this topic is a bit stale, but this is for the benefit of anyone stumbling into this thread from an internet search. This was done with an Airport Extreme, but I expect the relevant settings on the Express would be much the same. In Airport Utility, open up your base station, and select the "Internet" pane. In the "Internet Connection" tab, from the pop-up menu at the bottom titled "Connection Sharing", select "Off (Bridge Mode)". Putting base stations from other manufacturers into bridge mode would probably have exactly the same effect. You may also want to turn off the flashing orange light on your base station - select the "AirPort" pane, and click on the orange spot beside "Status: x items". Check the boxes next to the problems you are quite happy to ignore. On mine the two alerts were "Ethernet Unplugged" and "Internet Connection". Apply the settings and wait for your base station to restart. You'll notice once you've reconnected to your network that the little wifi symbol no longer appears at the top of your iDevice. I hope someone finds this useful.
use iPad iPhone 3G data internet while connected streaming to AirPort wifi wi-fi AirPlay ad-hoc network