I am using Vodafone AUS as my service, and I have found the instructions from Vodafone and the Guides here a little confusing. This seems to work...

Paired the devices as usual.

On the T3:

Made a new NETWORK called Vodafone GPRS

Username: {space} (anything seems to work, but a space is quickest)
Password: {space} (always prompts otherwise)
Connection: BT to Sony-E T610 (builtin connection in T3)
Phone: *99***2# (builtin VFAU Internet account on the phone)

No script or init strings

Any comments?