What are you using to monitor your mobile data costs? Some mobile costs appear on your bill a couple of days after use. This is why I use 3D Watchdog as it tells me immediately how much I've used.
Verify the following:
Menu > Settings > Wireless & networks > Mobile network is unchecked.
Menu > Settings > Wireless & networks > Mobile network settings > Uncheck Data roaming and Enable always-on mobile data.
You can, though, make another block by creating a 'null' Access Point Name. Menu > Settings > Wireless & networks > Mobile network settings > Access Point Names > Menu > New APN > Name > Enter a name, > APN > Enter a name, > Back > Check (blue radio button) your newly created APN on the list of APNs.
Remember that if you want to use mobile data, then you'll need to go to this screen to check the network provider setting.
Another alternative is this -
Dial *#*#4636#*#* which will take you to Testing > Phone information > Menu > More > Disable data on boot > Reboot your phone.
Remember what you did, though, as you need to go through this procedure again to turn mobile data on.