So further to this thread, I have a low cap data only SIM, and it's working well.
http://www.geekzone.co.nz/forums.asp?forumid=42&topicid=171181

BUT, as you can't connect to the voice or SMS compoent (it will come up with a forbidden when you choose the operator) it keeps trying to search for network.  Is there any way to turn this off, and just tell it to stop looking? 

My data bit works great, but it's just killing my battery searching for providers all the time.

It's an HTC One X if that makes a difference.