Might as well turn data roaming off all the time. As long as you can see the UK O2 network you will still have your data.
Turning off data roaming will prevent, if you go somewhere else from getting lots and lots of roaming data fees, which can be very expensive, so just turn it off.
If you're in another country, you could just use WiFi. Or, if you know the costs and are comfortable with it, you could turn data roaming on, and use data when abroad.