Hi Scott,
On Linux power management decisions are made by cpufreq governors. Most distributions I have used recently use the 'ondemand' scheduler, which makes decisions as you would guess based on cpu load. This scheduler has various parameters you can tweak in '/sys/devices/system/cpu/cpufreq/ondemand'. Its 'up_threshold' parameter is typically set to 95, which means when the load on a CPU reaches 95% it is time to increase the clock frequency to a higher level. Often this value is too high to trigger a high clock frequency. Just for fun adjust it to let's say 25 and see it change behaviour.
Figuring out the 'right' power settings is a very hard problem, because there are different use cases of which battery life vs performance is probably the most important one.
There is not much which can be done at the application level. If you were to tune cpufreq settings from Wine this would interfere with other apps.
Maybe some settings like up_treshold should be tuned at the distribution level, but finding the right balance is a problem and every user has different preferences.
Thanks,
Roderick