One problem to be aware of when purchasing more data for your SIM:
I went to the Vodafone shop in Pollensa, paid €59 euros for the 1 month unlimited bond but I did not realize that I needed then to send an SMS message to vodafone (from the vodafone connect programme on my pc) in order to verify which bond I had paid for. Consequently my €59 euros was used within 4 days as I was still using the standard tariff - a very expensive mistake!!

I'm sure the girl in the shop told me what to do but I didn't understand her

, so technically my fault.
I'm not sure whether this applies if you are just purchasing a certain amount of Mb (eg 400Mb), I think you can probably just top up like a mobile phone in any of the top-up outlets (perhaps you could verify this Mark). Definately though, if you are going for the time duration (eg. 1 month, unlimited) you do need to make sure that once you've purchased from the Vodafone shop, you send the SMS as explained above.
May I say though that once up and running it's brilliant.