hey Steve
I had the same problem with my iPhone 4S. First time I went abroad I could not buy the data via text. So the second time I did it by calling up Virgin before I went. Then off I went abroad...but data roaming didn't work. And yes folks I turned it on under settings
So I called Virgin via Skype and then reset it their end and instructed me to turn it off under settings and then turn it back on when I got a text from them saying it was reset.
Still it did'nt work, I didn't call them back because I just gave up.
Virgin support did politely say 'we don't currently support the iPhone, so it may be an iPhone issue'... fair point.
But interestingly, my iPhone 3GS had no problem data roaming on virgin, so maybe it's a 4S issue?
Anybody managed to fix this issue out there?