I came from a long history of BlackBerrys, none of which were touch screens.
When on a call I must be touching the screen with my cheek and disconnecting the call. It mostly happens if I try to hold the phone between my shoulder and face instead of with my hand but it has happened when holding with my hand. Is there a setting or something I can do that would eliminate this issue other than the obvious, to get a bluetooth headset.
Ah yes, you've run into the good ol' issue called the proximity sensor. It doesn't seem to work right for some, as evidenced by your problem. All we can say is update to iOS 4.1 and try it.
You could also try holding the phone a little lower. The proximity sensor is located right above the ear speaker. There's an LED there that emits a light, and the sensor detects whether the light is reflected back or not. If you don't sufficiently cover the sensor, the light never gets reflected back and it doesn't trip the sensor. Holding the phone a little lower might do the trick.
Try this, while on a phone call, move your finger around the area above the ear speaker until the screen turns off. If it doesn't turn off and STAY off, you probably have a bad sensor/LED. Take it back to Apple Store and tell them the problem and they should replace it for you.
I still have the proximity problem even after upgrading to 4.1, I also exchanged for a new phone and still have the problem. HOWEVER the problem is consistent now instead of random so I know what to do so I don't cheek dial. I just have to do what Steve Jobs so beautifully said, "Hold Different", he really can make us dance like little puppets.
While I do think that this issue is crap, you can always hit the home button while on a call. You won't hang up on anyone. Crappy workaround, but it works.