I figured out what you can do to solve this. It was getting annoying for me, too.
Go to unlockit.co.nz/ on your iPhone
Click continue
Click Custom APN
Type your APN, leave username/password blank
Don't mess with the drop-down box
Click Create Custom Profile
Safari will swap out and open settings and ask you to apply carrier settings profile
Apply it
You're done. Your APN will stick upon reboot. Unfortunately, you might still have to flick the Data Roaming switch, but that's only sometimes, and a lot easier than typing your APN again.
I'm using 3G iPhone on 2.2.1 using the gevey sim card as well. I lose EDGE after I switch to WiFi. I usually have to put my SIM into a reg tmobile phone, browse the web and than put SIM back into the iPhone than it catches EDGE again. Sucks.. but I try not to use wifi anymore since I lose my edge.