How do you completely shut down an application with an ipod touch 3g?

I just bought a new apple ipod touch 3g. I read online that you can hold the home on for 5-10 seconds while in an application and it will completely shut down the application. This doesn't seem to work on my ipod touch. Was this changed with the 3g, or is there a setting that may prevent this from working? I would like to conserve battery life, because I use many apps throughout the day.