I just never use GPRS (or any kind of mobile data) when I'm roaming, I totally disable it, it's the only way to be safe. Telcos will try everything to bleed you dry when you're roaming. I once made a call while roaming in Puerto Rico that cost me $6US per second

When a local telco first started offering GPRS (I was using a Treo 180 at the time) it was free and unlimited (ah the good ol' days ), then they started metering it without any notification and I got a $200US bill and it could have been a lot worse, I used hardly any data that month compared to my usual usage.