Why does iPhone 4 lose its VPN connection on sleep or screen lock? I've setup a VPN connection using AnchorFree.com on my iPhone 4 which works great, the issue I have is when my iPhone goes to sleep or screen locks the VPN connection appears to auto disconnect and doesn't reconnect unless I manually make it. I saw a thread here on apples forums confirming others are seeing this issue but no real solution.
I don't know if it will really help you, but the only way I see to walk-around this problem is to set the System Preferences "Auto Lock" to "Never". This will keep you connection alive.

I would do this before every remote work session. Then, reset it to 1 minutes, you're done with it.