Streaming songs (over wifi or 3G) will use more battery than playing them from your SD card if you wouldn't be using wifi/3G. If your wifi or 3G is already on, it probably wouldn't be that much more of a battery drain (maybe slightly more). The biggest advantage about the SD card is that it would be more reliable if you do not have a good 3G/wifi signal. I personally keep the stuff I want to listen to the most on the card, and use Google Music beta to stream all the rest of my library (which is monumentally larger than what I could fit on a 16g or 32g card).
You will save a lot of battery if you turn off the wifi/3G when you are not using it (either manually or with an app like Juice Defender). The same holds true for GPS and bluetooth.