You can avoid the roaming charges this way:
Goto network settings of your phone.
Select network selection as manual.
Now suppose your Service Provider is Airtel (say).
While you are going out of station change your setting to manual.
Now the phone will search for available Service Providers and will provide you a list of available networks. Select your provider(Airtel in this case).
And you are done..

Note: This method works in metropolitan and other select cities only...
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No need to change the Message Center no..