Yes. Manually in the phone's OS, go to Menu/Tools/Manager. Then choose your MIDlet and then "Settings". In there is a Network access field with choices Not allowed, Ask every time, and Ask first time. Change it from the default Ask every time to Ask first time. There are some other settings there as well.
I believe, but have not verified, that a signed app can gain access to an "always allowed" choice as well.
I'm sure other phones have similar choices though the menu traversal may be different. Good luck.