Enable 3G: off
Data Roaming: on
T-Mobile recommends turning WiFi off, but I have had no problems with WiFi enabled.
Settings->General->Network->Cellular Data Network
MMS Proxy: (blank)
MMS Max Message Size: (blank)
MMS UA Prof URL: (blank)
Note: This requires an unlocked iPhone, obviously. Ask your carrier about getting your phone unlocked. It took me about two weeks with Optus in Australia and they did it at no charge.