Another option is to modify your APN setting for cellular data.
In IOS 4 (not sure about earlier versions) there are APN settings for cellular data, visual voicemail and MMS. You can temporarily change the settings of any of these to disable that particular feature, so you could prevent 3G / GPRS but still have the ability to send MMS' and use visual voicemail.
On O2, the APN's are all idata.o2.co.uk with the username "vertigo" and the password "password". Changing the APN, the username or the password while on holiday should prevent it from being able to connect.