You would be surprised. While running the mobile chipset takes up some juice, and running wifi takes up some juice, running the portable AP does seem to eat vastly more juice than both put together. The more data you transfer over it, the faster your battery flattens.
It's kind of telling that my Xperia Arc S only gets really red hot when I'm running the portable AP. So hot in fact, I've had it stop charging itself - apparently this is a safety feature.
Kind of annoying that since the ICS update, it randomly turns the AP off though. Ho hum, that is a different issue.