This solution didn’t work for me – I had to make a slight adjustment to the directories updated. It does give some background on how it works if you’re interested though.
Save the following file as “/etc/network/if-up.d/iwl-no-blink” and make it executable for all.

#!/bin/sh
if [ "$IFACE" = "wlan0" ]; then
  for dir in /sys/class/leds/iwl-phy*; do
    echo none > $dir/trigger
  done
fi

Now the wireless light is off when disconnected, blinks when I’m connecting, and is steady on when I’m connected.

Updated, 23th March 09
…but it doesn’t work on resume from suspend. When my Vostro 1310 resumes from suspend, it’s back to the defaults. I fixed this behaviour by adding a script /etc/pm/sleep.d/00wireless, executable for all.

#!/bin/sh
case "$1" in
        resume|thaw)
                /etc/network/if-up.d/iwl-no-blink
        ;;
        *)
        ;;
esac

Updated, thanks Richard
The easy way to make the script executable for all; you might be prompted for your password.

sudo chmod u+x /etc/network/if-up.d/iwl-no-blink

Meaning: Modify the file permissions on /etc/network/if-up.d/iwl-no-blink to add permission to execute for all users.
Then you can check the permissions with:

you@your-computer:~$ ls -lart /etc/network/if-up.d/iwl-no-blink
-rwxr-xr-x 1 root root 119 2008-11-02 11:36 /etc/network/if-up.d/iwl-no-blink

The -rwxr-xr-x means that any user can execute the script.