It is the phone that has the bands on it, not the SIM.
I have been using tri-band phones for years, they used to be more expensive but I think it is pretty standard now, and yes, quad bands five even more coverage, I think in South America mostly.
Buying a local SIM card will save a lot if you are have gone in a group and are phoning or texting other people in the same country who also have local SIMs
It is more economical to leave your UK number on voicemail so you can listen occasionally and see if there is anything that can't wait. IMO when you're on holiday you don't want to be constantly available on the phone. Overseas roaming costs are ridiculously high, although within Europe they are being forced to reduce excessive profiteering, by the power of the EU (hooray)!