Most UK networks offer very cheap data SIM deals. Same in most of Europe.
Obviously if you stick one of these SIMs into your phone, the phone # changes and nobody can call you anymore
So, look up a device called E585. Get one which is unlocked (Ebay). That is what I use when I go abroad; I pop the locally purchased SIM into that. It provides a wifi connection, which can support several devices concurrently. It's a superb solution.