Here's how to turn data roaming off for your Nokia Lumia 820:
- From the Start screen, swipe to the left.
- Scroll down to and tap Settings.
- Scroll down to and tap mobile network.
- Tap the Data roaming options dropdown.
- Tap don't roam to disable data roaming.
- Data roaming has been switched off.
Note: With data roaming turned off you can still transmit data with a wireless (WiFi) connection, if you are unable to connect to a network using a standard connection.