You can prevent your phone from transmitting data over other carriers’ mobile networks when you leave an area that is covered by your carrier’s networks. This is useful for controlling expenses if your cell plan doesn’t include data roaming.
From the Home screen, tap the Menu Key > System settings > Networks tab > Tethering & networks > Mobile networks.
Tap Data roaming to remove the checkmark from the box. You can still transmit data with a Wi-Fi connection when Data roaming is disabled.