Welcome to Android Central! Which phone? While on a call, swipe down the notification panel and look at the Quick Settings toggles -- do you see a mobile data toggle there? If not, you can typically edit the toggles to add it. Otherwise, swipe down the notification panel, tap the gear icon to get to the system settings, and go to the Mobile Data menu. The mobile data option is usually there.
When you swipe down the notification panel while in a call, the call won't end.