Sorry Jim but you don't have to do that with Tesco Mobile as they are set up to work abroad and automatically connect to the local network.The details are all on their website.
Usually my phone pings as soon as I get in the taxi at the airport "Welcome to Greece" and goes onto the Cosmote network.
Mine does too, but Tesco have a small proportion of the market.
Jim is right in saying that you generally have to register for roaming in most networks - this I did and it connects automatically now as yours does.
I am with the Three Mobile which has it's own 3G/4G network and a partnership with the old Orange / T-Mobile networks combined - it also offers a "Feel at Home" service in most of Europe and other countries so you can use your contract minutes at no extra charge - - - (Just not in Greece yet - but I hear it's coming!) - Also free Virginnet WiFI from London Underground stations. You can also call over the internet using an App called inTouch app, enabling Three customers to route calls and text messages via a local Wi-fi network where the Three mobile signal is intermittent or unavailable.
Note: extract from Wikipedia:International access
Until 2009, Three subscribers in the UK, Ireland, Austria, Italy, Denmark, Sweden, Hong Kong and Australia could use their service on Three networks around the world for no extra charge with "3 Like Home".[24] The service was relaunched on 30 August 2013 as "Feel At Home" for UK customers visiting Australia, Austria, Denmark, Hong Kong, Ireland, Italy and Sweden where calls, texts and data consume the same amount of purchased airtime "minutes" as for communication within the UK. Since then, additional countries have been added to "Feel At Home" including: Finland, France, Indonesia, Israel, Macau, New Zealand, Norway, Spain, Sri Lanka, Switzerland and the USA.