Hey that's I'm back from Saudi Arabia and I thought I should fill in what happened.
I originally got a prepaid STC data sim but it didn't work, they kindly refunded it. I then tried mobily which didn't work either and they wouldn't refund my money.
After checking my mifi it turned out it wasn't picking up the correct network APN settings.
So I got my mifi to work in the end with the right APN settings.
Notes for next time or for whomever may find this of interest:
* Add the APNs settings to your mifi before you leave the country.
* In Saudi a 5GB prepaid data sim costs 120 SR. If you are flying with Saudi Airlines they offer a 15GB prepaid data sim with STC for the same price, bargin!