I use MegaFon's
Вокруг света ("around the world") tariff, which doesn't have national roaming surcharges and is designed for those making international calls, even though I have cheaper solutions for such calls. You can add
data bundles to this tariff, for example Internet 24, which costs RUB 24 for 200MB per day anywhere in Russia. Although my MegaFon SIM card is registered in Moscow, I used this data bundle also in Sochi.