From APN Changer and Data Sim Guide
1. With your iPhone4 open Safari Browser
2. Go to m.apnchanger.org .
3. Click "Install". That’s it!
2. Open the iPhone Configuration Program, for Mac Version, it should be in Utilities Folder.
3. Check for the APN settings on our Main Page (choose country and cellular provider)
4. Under Library there is a Configuration Profiles, Click on “New”, go down to advanced, add the APN settings, for example in Malaysia, use Access Point name “maxis” and password, “wap”, rest not needed, at least not for Carrier Maxis
5. Connect your iPhone, should pop up as in iTunes, go to “configuration profiles tab”, chose install, a notification should appear on your phone, choose “install”. After install it should work directly.
Only one profile can be installed at once; which is not good, because if you have different pre-paid cards, you are not able to switch profile until you go home. For iPhone 4 with iOS 4, the APN settings is under General > Network.