I hope you are on the unlimited plan, otherwise your story goes from funny to tragic. I've included pictures to help you determine whether the iPhone is on WiFi vs 3G while using the Slingplayer Mobile client.
I'd also like to bump this post because I too would like to see a "sleep" feature implemented on all Slingplayer Mobile clients (not just the iPhone).
I just did the same thing last weekend. Its funny becaus my wife was nagging me about going to sleep with the sling box on 3g in my camper. (My mother in laws driveway. Their WFI doesn't make it outside of their tin roof house.) Anyway I turned off the TV before going to sleep and picked up the phone. It had the "Connecting Red Screen" so I just set the phone down. Well my bad because about 5 hours later we started both getting text messages sent to our phones saying we were over our Data Plan of 2 gigs.
I am hopeing Slinbox gets a sleep timer on their App, in the mean time I'm looking for any other solution to this issue.
The Iphone clock app has a timer that offers sleep all apps but it doesn't work with slingbox.