Android - How can I prevent my device from automatically converting SMS to MMS?

You can't do so with your samsung official messaging application, all of what you can get is a pop notification that you are now in the MMS zone (Converting to multimedia message...).

I would recommend Handcent SMS application, available at the market, and has an option for not converting texts (SMS) into MMS

You need to change the Creation Mode in the messaging app's settings to "Restricted". I tried it on my Galaxy S II and it worked.