How do I get my iPod to stay connected to WiFi, even when iPod is locked?

I use the TextFree app, and it is great now that it uses notifications via badges, sounds, and alerts. Problem is, it can't get the messages sent to me when I am not connected to the WiFi because I have clicked the sleep/wake button, and locked the screen.

Anyone know how to get my iPod to stay connected to a WiFi network despite such locking?(I know for a fact that there is a WiFi network at my home, and I can connect to at any time)