You have to go in
settings -> General -> Network and turn it off
edit: BTW you should get SBsettings app, allows you to turn on/off many options on your iphone simply by sliding your finger on the top of the screen ( I think you need jailbreak and cydia(sp?) tho )
Just out of curiosity, what's the point of having an iPhone with no data?
then you don't need a smartphone...
then you don't need a smartphone...
iphonenodata.com works very well no problem been using it for one month