How to stop apps from using cellular data?

When I'm out traveling I sometimes enjoy gaming on my iPhone 3G.
Recently I noticed that one of the games (And other apps which "shouldnt" be doing cellular data) I've been playing is downloading cellular data (For in-game commercials!) even though I never gave it permission to do that. I also sometimes see the data network icon animating some times without having any apps running..
The thing is, I live in Norway and cellular data traffic is very expensive here. I want to have full control and give/deny access to cellular data in the moment, alternatively turn it completely off.
Is there any way to turn off the celluar data traffic (And hopefully an easy way)?

Turn on Airplane Mode and turn off WiFi in Settings.

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