You can use log4j in your application as your code shows. The only thing is to add a dependency to 'org.apache.log4j' to your manifest or jboss-structure.xml
I prefer to use the CLI to add a logger for the application to the server configuration. All the logging will go into the server.log file in this case.
Thanks WDF, I can see it is logging, now that I've turned off show_sql in persistence.xml which was kind of drowning everything else out. I guess I'll have to look into using CLI. My problem with it is that there's no persistent artifact left over from the interaction with CLI, for documentation purposes. (Unless of course CLI will read its input from a file, which seems very likely, so, I'll have to go take a look.)