It costs something like £7-8 per MB when roaming. If I had to use datacard (Rather than a WLAN subscription, for example) I would definitely use a local SIM card for data. Even for a couple of megs, roaming would be way too expensive.
If you pay £95 per month on Voda datacard then you get 200MB to use on whichever overseas roaming network you want, but I doubt that's what you had in mind...