If you are using the driver wvlan_cs, it's actually trivial, just add in wireless.opts something like the following :|
IWCONFIG="power 500m unicast"
Of course, check the iwconfig man page to get all the details and syntax of the command.
When I implemented support in wvlan_cs, I did test that everything was working. It was with firmware 4.X. However, I didn't tested the latest firmwares.
And also, I beleive that Power Saving is not worth it, i.e. little saving and too much perf degradation, but other can probably comment on it. The better solution seem to be to eject the card manually.