The
HTC TyTN is one of the most powerful PDA's available with HSDPA that is faster than 3G so long as coverage is available - i.e. London. As far as costs go that all depends on the network provider. T-Mobile in the UK probably offer the best deal at present with
Web 'n' Walk which will give you 2GB/month transfer for only £7.50 month, compare this with some companies that will charge you £1/MB. The TyTN is available as the
MDA Vario II from T-Mob but it's the same device. You could of course as you say use your phone as the modem and connect to that but I still think you would need something like Web 'n' Walk to make it cost effective. We have a range of devices and phones with web 'n' walk here if you are interested:
http://www.powerupmobile.com