Instructions
Take the batteries out. Then put them back in.
Check to see if the remote still appears on. If so, press the home button on the controller.
Click on the Wii Remote Settings, then click reconnect. This will turn both of your Wii controllers off. If you have two Wii remotes, it will turn both off.
When you are ready to play again, simply grab one of your Wii-motes and press any button; only that Wii-mote will turn back on.