I had the same problem with my S as well, seemed to "prefer" the G connection (when on auto), probably to save battery life as 3G/H consumes a fair bit more power than G, so forced it to only use H/3G and is now constant H/3G when mobile data is activated.
Yeah it does that a fair bit, flicks between H and 3G every now and again, particularly as soon as you turn the mobile data connection on first time, but it should settle on either H or 3G after a few seconds depending on coverage etc.
As far as I know there is no way to make the WCDMA the preferred mode, maybe if you have a custom ROM on....
Check the coverage checker on your network provider's website and if it is weak coverage then you will experience those cut outs quite often, so better off leaving the GSM connection only then.
You can download speedtest from the play store to see what your dll, upload and ping are like on mobile data connection for 3G/H connection.
Yeah just checked the O2 coverage checker for my address and it showed up as full coverage for 2G and 'no coverage' for 3G so I guess I seem to be lucky to get a connection sometimes at least.
Might have to leave it on 'Auto' when I'm at home, unless I want to download an app then I will put it on 'WCDMA' until the wi-fi is fixed ... hopefully Tuesday