another option
I am in Hong Kong now for 3 weeks with my US based AT&T 3G Iphone. I went to the local phone store and bought a SIM card for about $20. This is a pay-by-the-minute SIM card. It has about 200 minutes on it with a new local phone number.
They also sold me this thin SIM card sized thing called a GEVEY-3G for about $20 which goes into the SIM card holder with my new SIM card. Basically, it tricks the Iphone to allow me use my Iphone locally.
So, I put my AT&T SIM card away and I use my Iphone as I would in the states, but with the local carrier.
I can make and receive calls (with the new local number), I can SMS, but I can not use safari through the cell towers, I can only do this in a hotel with WiFi.
If you do this, you must switch to airplane mode to sync with Itunes, then you must restart the Iphone to get a cell signal.