You have to be careful in exactly what you are measuring. The mistake many people seem to make is that they think a CPU uses a fixed amount of power based on it's clock speed, when it is actually dependent on how much load it is under.
Standard PDA-type or computing tasks need very little CPU time to complete; the chip spends 99% of the time in an idle or halt state waiting for user input. When it's halted, it's essentially off and is using negligible power. And in these cases nobody bothers to overclock, as the CPU limits aren't being reached. Even mp3 playback is a low-load task these days. That's why even high-end PDA's still have reasonable battery life.
But people occasionally do cpu-intensive things on their Z's - movies, emulators, compilation etc. In these cases the CPU is running at or near 100% load instead of 2% - and the power usage increases accordingly. Since running at 100% isn't so great for realtime apps like mplayer people also turn the overclocking on at the same time... and then think it's the overclocking that's causing the lower battery life.