As long as roaming is enabled on your account (you can check online or by calling 333, and you can activate it without having to speak to anyone), this is what will happen when you arrive in Spain.
You'll get a text from Three advising you of the local rates and offering the Euro Pass for £5 a day for unlimited data.
To activate the Euro Pass, you will need to switch on data roaming and then tap the link in the text message. (Be warned that once you switch on data roaming, you should press the link and start the Euro Pass immediately. If any notifications come through or you use data after you've switched data roaming on but before you've activated the Euro Pass, you'll be charged the standard data rate. This is a bit frustrating because with an iPhone, it isn't easy to disable all notifications.)
If I remember rightly, I found that once I'd bought the Euro Pass, I had to toggle data roaming off and back on for it to work, for some reason.
When the Euro Pass runs out, I *think* you're prompted to get a new one and can't just start building up a huge data bill.