What settings do I change on my iPhone 4S to stop data when abroad?

I want to receive calls and texts but no internet at all. I don't want a massive bill for data when I return home!

Settings>General>Cellular>Data Roaming = Off

Turn off wireless and 3g

General-mobile data-data roaming-OFF

Settings >> general >> cellular and make sure the data roaming option is set to off, do it before you leave your home country.

In your settings you should find a place for turning off data roaming, That will stop it and it's also a smart idea to turn off Wi-Fi when in public and only turning it on when using a private network in a home/hotel etc.
Hope this helps.