The device doesn't really turn itself off - like Lylej2k says, it's really just sleeping. I make it a habit to hit the power button to sleep the device whenever I'm not using it - saves the battery. Calls come through fine. The issue with the calls going straight to voicemail isn't the on/off status of the screen/device. I think the general consensus on that is something to do with the way the phone polls the cell towers (at least that's the understanding I get out of it).
Look at "PST tweaks" in the Essentials thread
http://forum.ppcgeeks.com/showthread.php?t=42730
Searching for 'polling' in this forum brings up a lot of threads; I'm looking for a particular one to point you to, but right now I can't seem to find it.
PS - you'll know when the device has really been off - you see the HTC start screen, the Sprint start screen, and the Windows Mobile start screen (for example)