If you are unable to use data after changing the APN to roam through Settings > Cellular, most phone manufacturers have released APN settings apps that you need to use in order to configure the device correctly.
Our advice for Windows Phone users is to download the appropriate app before travelling to the US so you don't need to go searching for a wifi network.
Nokia Windows Phone 8 (Nokia Lumia 810, Nokia Lumia 920) - access point
HTC Devices (HTC 8X) - Connection Setup
Samsung Devices - APNs
If you are unable to download one of these apps please ensure the Windows Marketplace app on your device is up to date.