Are you communicating on your socket synchronously or asynchronously?
If you are using a synchronous pattern, one thing I have done in the
past is use the .DataAvailable attribute of the NetworkStream object
derived from the socket (I know, getting complicated). The idea was, if
there is no information available, go ahead and test the connection. To
test the connection I simply tried to send a predetermined "test
packet" over the connection, and if this attempt is placed in a
try/catch block then you'll know when the connection has been lost.

That said, as someone mentioned in this thread before, if you're not
using a socket you might not care if it's connected until you need it.
I guess it depends on what you're trying to do. Often times with
wireless networks, connections will be lost for a couple of seconds and
then regained. If during that time your app wasn't doing anything,
there's no reason to go through a bunch of connection lost code if the
connection will just be re-established before you're done dealing with
the fact you lost connection. Again, depends on your goals.

Hope this helps. If you think you need to see some sample code I could
do that with a better idea of your goals. Good luck!