this site is informative:
http://shop.o2.co.uk/update/unlockmyiphone.html
also found this by putting USA into the support page:
All O2 customers can make calls back to the UK whilst travelling in another country. You can also make calls to numbers within the country that you’re roaming in, and to other countries around the world.
Before you take your mobile outside of the UK, there are a few things you’ll need to do:
Contact customer services at least two days before you go (three days if you are going to the USA or Canada) to make sure your mobile will work when you’re away. You can do this by clicking on the 'Call Us' or 'Email Us' link below.
Pack your charger, and adapter.
Store any numbers in your mobile that you’re likely to need in international format e.g. +44 161 000 0000.
If you plan to use Voicemail 901 while you’re abroad, dial 1780 to get your personal Voicemail retrieval number. It’s a good idea to save your Voicemail retrieval number for future reference.
Make a note of the emergency number for the country you’re going to. It’s usually 112 or 999 (911 in USA or Canada).
Make sure your mobile is insured in case of mishap.
To make a call to another mobile or landline from outside the UK, always use the full international number. This full international dialling number includes the international dialling code (+ or 00) the country code, area code (without the 0) and then the mobile number.
For example, to call a number in Paris (even if you are in France) dial +33 1 23 45 67 89. To call back to the UK you must also use the full international number. For example, to call Manchester dial + 44 161 000 0000.
Important Note
International calls may take longer to be billed than standard UK calls. This is because whilst abroad you use a foreign network. We have to wait to receive the details of calls you have made on a foreign network before we can bill you for them.
If you need further information, please click on the ‘Travelling abroad’ link below.