So, I replaced my U810 with the newer U2010 model a few weeks back. Contrary to the U810 the U2010 has an empty and functional Mini PCI-E slot. I am using the O2 Internet-Pack L plan here in Germany a lot and tethered my Sony Ericsson K850 with the U810 before, which was quite a problem since this setup used to drain the batteries of my mobile phone quite fast due to UMTS/HSDPA + Bluetooth connectivity. I figured an internal solution would work better in my case. :)
The Novatel Expedite EU850D Mini PCI-E card seems like a good fit since it already includes a SIM card slot on board and is readily available via several retailers.
The big problem with this solution however is the fact that the U2010 is so crammed internally that it is hard to add any new conventionally available antennas. The device already has six antennas: two for Wifi, two for GPS, one for Bluetooth and one for the FM Transmitter. However I was not able to use any of these without sacrificing the functionality of these connectivity options.
Some retailers offer antennas with the module which are to be installed in the display lid and are too big to fit into the casing of the U2010. I refrained from opening up the lid and was looking for a different solution instead:
Why not use the same antenna a mobile phone uses?
As luck had it, a friend of mine had a broken Sony Ericsson K800i lying around, which I took apart and removed the antenna assembly from. You can also get the whole assembly as replacement part from several dealers at eBay. Fortunately the antenna is a film based one which can be stripped away from the plastic part it is fixed on. Due to the flexible form of the antenna you are free to place it almost anywhere in the case.
So I got an antenna cable with a Hirose U.FL / IPAX pigtail and soldered the other end of the cable onto the copper pads of the film antenna.

If you intend to do the same here is a word of warning: Be sure to use a placement inside the casing that is not covered by the silvery radiation shield coating as it will dramatically reduce the reception quality of the signal. I had to sand down some of the coating to get better signal strength. Your mileage may vary.