My iphone/sim/wi-fi nonsense!

Ok, this is a bit complicated - but only a bit.

I have my iphone. Nearly 2 years old. The original sim, with my English number on it, I have taken out and will use only when I return to the UK.
So I bought a 'pay-as-you-go' sim from Orange, here in BCN, so I have a Spanish mobile number.

Ok so far? Good.

So I had something like €20 as a balance.
But without making any calls and sending just 2 texts, I'm getting alerts that my balance is less than €1!!!

Now, in my flat, I have wi-fi - I access my emails and stuff when I am within range of my router. I pay for the internet etc with my landline phone bill. So not via my iphone.

Ok?

But my pal tells me that what is probably happening, is that when I am outside the flat, the phone looks for wi-fi, and if it can't locate any, will default to using Orange  - vastly expensive!! Hence €20 gone!!

Now, on an iphone, you can change the settings so that 'data roaming' is OFF. I've done this. But even so, I obviously still have to change some other setting. Any idea?!?!

Ta!