I tested it, and works great. Use a registry editor, and go to:
HKEY_LOCAL_MACHINE\SOFTWARE\OEM\InitProv\PhoneSett ing
Change the ItemCount to 3
Add a String Value called "ItemName3" with the string being "Roaming Only"
Add a DWORD called "ItemValue3" with the DWORD Data being "5" (in Decimal)
Do not enter the quotation marks in the directions above. After exiting the program, wait a minute or 2 and then shut the phone off, wait a few seconds for good measure, and turn it on again. Or soft-reset by taking the back cover off (big hassle), or use the soft-reset program floating around.
You can get a free registry editor here:
http://www.phm.lu/Products/PocketPC/RegEdit/