Nick7, great app, thanks! I set the app on cell only for roaming, That seems to work best, When I need roaming internet, I use cell only and under mode I use HDR only. This way I get 3G internet for surfing on Hotspot, (no SMS or receiving calls this way though).
Here is a basic beta application that gives you access to roam control. Please report any bugs in this thread.
Also, this application is now featured in nROM, give it a shot. It also needs a lot more work because I am by no means an application developer and learned everything you see here in the last two days.