O2 doesn't have a PAYG roaming agreement with Bahrain. You will need to buy a local SIM card or rely on wifi hot spots.
My text messages are getting back to the UK okay (as are imessages but I understand the reason behind that).
Is this information available on the giffgaff site anywhere?
Information about where giffgaff does not work is unfortunately not available from giffgaff - the O2 international page referenced above is the best information you're going to get.