The Nokia Lumia 800 can be great value on Giffgaff. First you must ensure that your phone is either unlocked or on O2. To set everything up, navigate to Settings > Mobile Network and set Data Connection to On and Network Selection to Automatic. Then tap Add APN and input the following settings:
Leave both Proxy Server/URL and Proxy Port blank. Then simply press Save and turn your phone off and on again. Mobile internet should now be working fine 🙂
Unfortuantely, MMS will not work until Nokia release an app to input the APN settings.