Check that you have credit or an active gb. Then try a manual roam. Manual roam
1. Go to settings 2. Then go to mobile networks 3. Select a network other than o2 (gg) i.e orange or tmobile 4. Come out of settings and it should say no network coverage or something 5. Repeat the process this time choose o2 (gg)
The message centre number in your message settings should be +447802002606
If you have an iphone then see here.
1. Go to settings 2.Go to carriers 3. Switch off automatic and manually change the carrier to something other then O2-UK i.e vodafone or orange 4. Come out of settings and wait until it fails to connect to the other carrier 5. Once it fails repeat the process and this time choose O2-UK If it still fails, try the sim in another phone, it may be faulty.
If it helps, Feel free to use this post at a later date