If by "red" you mean the Calor propane, then no, you cannot exchange them. You would need to buy a local brand or take enough to last, or use Camping Gaz which can be exchanged in most countries in Europe (except Norway)
Our 3 dongle couldn't seem to find a network. Our Virgin and O2 Mobiles both had no problems, so I think you need to contact 3 to get the roaming switched on, then (I think) it's £3 per meg from most of EU.
Camping gaz in very expensive, I have been told you can buy a Gas bottle and regulator from most French super markets (they all seem to have racks full of various gas bottles out side them, usually by the petrol station part).
I find we use very little gas these days as we always have EHU. So depending on how long your trip is, you may easily have enough gas not to need to exchange/purchase.
Last year we were 3 months in Scandinavia and used only one large blue Calor. We have now swopped the empty for the new CalorLite propane.
This year so far we have been away 2 months and hardly made any impression on our second large blue Calor. When it is empty we plan to swap it too.
We also have 2 Camping Gaz 907s which we keep as a back up, and always carry one of them when we go abroad.
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