Never mind I fixed this problem by following these instruction
http://forum.ppcgeeks.com/showthread.php?t=33937
Just a note to anyone that is still having trouble with internet and being stuck in roaming. After you follow all the instruction on page one, you need to do a hard reset. If you don't do a hard reset it will continue to be roaming and will say Preferred Provider. Once hard reset is done it will not display a network provider until you use *228 option 1.
BTW .41 of ImCokeMan's Vogue Unlocker worked like a charm. So feel free to use it instead of .40
Someone needs to sticky that guide!!!!