I just posted about this on another thread. Yep. Roaming is the only option; but, roaming is orders of magnitude more expensive than a local SIM card.
Even with a roaming plan the per minutes and the per megabyte charges are downright obscene. By contrast, an unlimited everything plan costs less than 40 dollars in most countries.
In Mexico I use Telcel. The service and price are fantastic; If I could I would switch my entire service to them. Two reasons why I can't:
1- I need a US number for my US banking texts and 2 factor authentication needs.
2- You need to be a permanent resident, or a citizen of Mexico to have a "contract" plan instead of a pay as you go plan. FM2 or FM3 visa only. As an American I get a FMM visa easily; it literally takes 5 minutes.
The other visas take too much time and effort to pursue. They need loads of documentation and take months of consulate, and ministry interviews.