Yes, there is a way to turn off those messages. It's called the Data Roaming Guard.
Go to Settings -> Wireless and Networks -> Mobile Networks
Uncheck 'Data Roaming Guard'
Uncheck 'Data Roaming Sound' (If you don't like the random sound that plays when it connects to a roaming data network).
Touch the back button to save the changes.
That should stop the data roaming guard warning messages.
