Since you are having issues connecting to the Slingbox using the 3G connection of your iPhone, you might want to check the Internet Viewing settings.
Use the following links in order to get a guide on how to enable the Internet Viewing manually on your Slingbox, there for you will be able to watch it away from home and also using a 3G network.
This is a bug in the Slingplayer application on the iPhone. Once it has connected to your home wireless network, it won't switch back to 3G when away from your home network. You have to kill off the Slingplayer application on your iPhone then restart it.
To kill off the Slingplayer application and restart it do the following:
Double click the home button on your iPhone. That will bring up a list of icons of currently running applications. Locate the Slingplayer icon. Tap and hold for several seconds until a red minus (-) sign appears. Tap on the minus sign to kill off the Slingplayer app. Click the home button again to exit app management. Now start the Slingplayer app again as normal. It will now connect via 3G.