to answer your question: yes, turning off BT on the BB and headset will definitely save your battery life.
That said, its such a hassle to turn it on each time i get a call (for me, personally) that I leave mine on all the time. The battery on the BB will still last for at least a day and I just make sure I charge it each night.
I read on another post that someone set their BB to auto-shut off each night, say from 1AM to 7AM - that way, if they ever forget to charge the BB, it won't be running all night. Seemed like a good idea.
As for the headset, the talk time will drain the battery quite a bit, but the stand-by time should be sufficient enough to last a full day. Its a judgement call, I don't always leave my headset on, but if I do, i just have to make sure I charge it each day.