Hi. Personally I have not set up an iPhone on Vodafone over here, but can't really see why it would be any different from other phones. Make sure you put the 2 DNS's in as well.
Primary DNS: 212.73.32.3
Secondary DNS: 212.73.32.67
Also, as you have already mentioned the APN is airtelnet.es, but verify that the username and password are all lower case "vodafone".
The Vodafone data plan on prepaid (called Tarjeta here) is very poor value for money. Generally, they are possibly the worst network in Spain in terms of offers, customer service and customer retention. If you can, try and pick up another prepaid sim from one of the MVNO's here. (e.g. Blau, MasMovil, Yoigo, Simyo etc.). You are probably best off going to a branch of "The Phone House" and getting advice, a SIM and having your phone set up by their staff.
On Vodafone, the 50c/day that your friend was quoted is correct, but also you need to sign up for a minimum of 7 days. To set it up send a SMS with the word TPTARJETA to 22521. it gives you unlimited access via their pathetic WAP portal, and a miserly 20 MB/day of general Web access. See:
Internet en el móvil Tarifa Plana diaria