is there an application in cydis or something that will block ATT from my phone? what I mean is allow incoming data and cell service but block info from going out of my phone to ATT.

There is a firewall app (available in cydia) that allows you to selectively block outgoing connections.

Blocking all outgoing data is a bad idea if you still want incoming data. Web browsing will not work. It will also block mms sending and probably cause problems receiving mms also.