You may not be able to set priority, it will just connect to whichever has the strongest signal.
Try wifi static apply in the market.
The underlying Android Wi-Fi client implementation does allow an ordered network preference. It's just that the settings menu doesn't let you touch them. I'm selling this App on Android Market to let users edit it. Only $1.
Wi-Fi Priority Editor
Fantastic idea, and maybe it's my device (Samsung Galaxy phone, Galaxy Tablet, both running 2.2), but...
this is not working for me. I have unlimited uncapped data on my phone and want to tether my tablet to my phone, and it's connecting to a clickwall access point that I *do not want* to connect to, no matter how many times I remove it.
A previous user had to uninstall and reinstall it, but when I tried that, it won't let me because my purchase was refunded (and the market hasn't caught up to that yet).
FANTASTIC idea...implementation needs a little bit of polishing.