You should look at buying a sim card locally. Where about's in the Euro Zone you heading too?
European countries tend to have lower tariff rates for the Euro Zone countries. Whether you're in France, Spain, Belgium, it is much much cheaper than setting your SA networked sim to roaming.
For those who come across this thread I used execmobile a local company. They courier the sim in 24hrs and have a portal to load, check balances etc. I can definitely recommend them.