In most cases, especially with GSM/GPRS, you can actually get away without doing that. You need to find out the correct APN.

The APN is basically an arbitrary string that tells the GPRS network which network interface you're connecting to.

Unfortunately, many cellular providers use APNs that restrict you to only using WAP proxies if you don't pay for laptop access. You can almost universally make your other device connect, it's just a question of whether you can take advantage of the connection.

T-Mobile US doesn't give you arbitrary port access unless you pay $20/month, although for $6/month you can get POP and IMAP and you can configure Opera to use the T-Mobile WAP 2.0 proxy...