Sometimes wired connections are free, but wireless is charged for. If this is the case for your hotel, another option would be to take a wireless travel router with you - this then gets you free wireless access in your room.

If you want to go the dongle route, the most hassle-free option will be to buy a local dongle: then if it doesn't work you can get them to fix it for you. If you use your own dongle and it doesn't work you won't know if it's because the SIM is not compatible with the dongle, or because you haven't set it up correctly.