Hi Everyone.
I figured something out today and thought I should share it with you. It has taken me a very long time, and lots of experimenting, to come to this conclusion.
Some batches of iPhone 4S seem to have SIM readers that have compatibility issues with certain SIM cards (here in the UK, specifically TMobile - I have verified that O2UK and Three UK SIMs work fine in an "affected" phone, and the battery drain STOPS).
My advice if you have the battery drain problem, is first check if your problem is SIM related or not.
The best way to do this, is see if the draining stops with the SIM removed, or with a SIM from another provider inserted (I know this isn't always feasible), but keep wifi enabled etc, to allow other processes to keep running. If the draining stops, this suggests a SIM related problem.
Further to this, you could do a complete factory restore - if the problem persists without putting any personal settings onto your iPhone, then this also suggests the problem is SIM related (or other hardware problem).
Once you verify this is the problem, go and get a replacement iPhone! It may take a few attempts, because there does seem to be a significant number of iPhones around with these "incompatible" SIM readers. Good Luck!
One more test - if you have the "SIM Applications" menu available, under "Settings"->"Phone", then see if any of these work properly, or if they simply light up blue and do nothing when you press them. If they do nothing like this, you definitely have the SIM reader incompatibility problem. This can also manifest itself by causing the phone to hang when you input your SIM PIN number. All related to the same problem.
Sorry about the long post. I hope these insights can solve your problem. I can confirm that not all iPhones have this incompatibility issue, because I found one that my TMobile SIM works fine in.