I asked three people last weekend w/ Canon 580exII flashes how to keep the flash from auto powering off. Nobody could remember.
I just looked it up. It's custom function 01 setting 1. Setting 0 is the default auto timer setting. And the settings stay active when you turn the flash off (you loose it after a minute without batteries).
For my Nikon SB-28, you press the MODE button as you turn on the power with the on/off button.
I figured I would post to the group, as it is relevant to at least 4 of us.