Whisper System have created a free app called WhisperMonitor, which can control all traffic to and from your phone.
WhisperMonitor is a small program that helps you control how much the program can return to its developers. You can restrict the traffic for a specified time or times of day. WhisperMonitor works with WhisperCore to provide a software firewall capable of dynamic egress filtering and real-time connection monitoring, giving you control over where your data is going and what your apps are doing.
WhisperMonitor keeps history of connections that each program place, thus gives you the opportunity to decide which program to block.