Right, I think I got it working:
After installing the new drivers, which you can download from
http://www.option.com/en/support/software-download/usb-modems/icon431/, plugin in your USB modem. Then go to System Preferences -- Network. It will prompt you that new network devices have been found. Confirm the dialog and then in the main window, click 'Apply'. Now, remove all new GI41x network devices from your current location profile except GI41x Modem.
Select the GI41x Modem and then open the Advanced options dialog. There, on the Modem tab, select 'Generic' as vendor and 'GPRS (GSM/3G)' as model. So for T-Mobile UK, for APN specify 'general.t-mobile.uk'. Confirm the dialog with ok. Then on the main one, type in, as previously mentioned the *99# as telephone number. Apply the changes then then click connect. That should do the trick.
It's important to use the 'GI41x Modem' and not as mentioned in other posts the 'GI41x Diag' network device.
Good luck.