I Phoned o2 about a week before going abroad and they said roaming was activated.
Sure enough I got there and the phone roamed onto the local networks there, got a message advising me of the charges as soon as the phone first connected to one of the networks in the other country.
Only problem I had is when I landed back in the UK I had to turn my phone off and back on before it would find the o2 network again, when I took the phone off flight mode it got stuck on searching for some reason