I had the same problem a few months ago. I took my bike to several places, and they all said the cassette wobble was due to the crappy hubs on my crappy wheels. I was riding stock Ritchies that had maybe 1200 miles total on them. I broke down and bought new Mavics shortly after and there is absolutely no wobble now; the cassette stays perfectly still when the rear wheel is spinning
Even though I didn't notice any symptoms from the wobble, there must have been some cost, however minor, in terms of pedal power and efficiency, since the chain was not running through the cogs as smoothly as it does when there is no wobble.