I'm 99% certain that this is a popular fallacy. In the rest of the EU (and probably the world for all I know) this *does* work but not in the UK. It's all to do with roaming agreements between mobile companies (which don't exist in the UK).
Have a look at this thread. http://www.digitalspy.co.uk/forums/s....php?p=1862383
I'm sure a definitive answer is available somewhere on the net but I can't be bothered finding it at the moment.