Tried the following:
1) Edited: System/Library/Carrier Bundles/Carrier name/ to AllowEditing. With this Cellular Data Editing tab appears & one can set the APN, AirtelGPRS in my case. All worked till I re-booted the device, Editing option vanished & Error of Call Forwarding appeared on making any call. Finally reverted back.
2) Downloaded Supreme Preferences 3.0 & activated using Winterboard. Cellular Data Data Editing Tab appeared but Sound control & Phone Lock tabs dissapeared. Seems to be some bug in there. So again removed the Software.
Now, looking for some bug free option to set APN & start using Net. Ofcourse not going to go in for some Paid App!