Swipe from the top of the screen and tap the Roaming icon to activate it -> Tap Data roaming, select one of the offered options and tap OK to confirm.
To disable the data roaming, repeat the steps above, and select Off
Note: The screenshots above were taken from Sony Xperia M2, running Android 5 Lollipop. The steps described above are very similar, only the user interface is different. If you don't see the Roaming icon, tap the pencil icon next to the gear icon and move it from there.