The location services are only used when specifically required to do so. You should see a small compass symbol in the menu bar when the services are being used. You can see what apps have made use of the service recently by checking in the settings app.
For Find My iPhone, what happens is that the device maintains a connection much like being logged into a push mail account to the iCloud services. This allows the iCloud service to communicate with the phone, and when you log into iCloud and request a location for the device in question, it is able to send a message to the device over this IP data connection, and request that it turn on the location based services, locate the device and report back the findings, as well as tell it to display a message, play a sound etc etc.
So you are quite free to leave it turned on all the time and it will only use it when you need it. You can test this by setting yourself a reminder with a geofenced alert - if I am at work and I set an alert for when I get home to feed the cat, the icon will display constantly as it needs to know exactly when I arrive at a location, and the services and as such battery drain associated with it will also be used during that time. Clear the reminder, and it will turn off.