My son just landed in Europe for a holiday, I'm in Canada.
He has his Bold, wants to confirm that he can turn on wifi and get email, browse, do texts without incurring data charges, in effect keeping the "Data Services Off While Roaming" setting checked. He is afraid of getting heavy charges when he returns.
SMS is over the network, and will arrive at a cost to you per message even when data services off. Best thing to do is just turn the phone radio off from manage connections and leave wifi on.
This will allow you to use all your data services and not deal with additional network charges