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, touch and hold the Recent Apps Key (in the Touch Keys bar) > Settings > More... > Mobile networks > Global data roaming access.
Choose from Deny data roaming access, Allow access only for this trip, or Allow access for all trips.