This is possible with Locale's cool plug-in architecture, which means new functionality is being added to Locale all the time. These are the two possible solutions:
1. The Locale Airplane Mode Plug-in allows Airplane Mode to be enabled/disabled, effectively disabling the mobile network entirely for both voice and data.
2. APNDroid 2.0 contains a free plug-in for Locale that disables the data connection, while still allowing voice calls.
Once either of these is installed, it will appear automatically as a new setting within Locale.