Exactly right, go to Settings -> General -> Network and turn off Data Roaming. This will leave wifi on so you can use wireless signals that are available but it tells your phone not to use data on the phone. If you desperately need data and there is no wifi then you can turn data roaming back on while you use it, but make sure you turn off all Push notifications and turn your email off so that it doesn't pull a bunch of other data than what you expected.
Cheers,
Brian