I've been toying around with this and I've also been unsuccessful thus far. I did however get Opera to install correctly by entering in the APN settings for my carrier (Rogers) and running Opera while the mobile network was on. Once it was installed, I cleared the APN settings and rebooted the phone (turned off and removed battery). Opera still doesn't work on wifi and is giving me "failed to connect to the internet" error messages.
I'm pretty sure that if I keep the APN settings in, it will work. However, from what I've learned, the APN settings are to help the applications connect to your carrier and download data. In other words, it wouldn't be using the wifi and would be incurring charges for data usage. Other applications like Google Maps, Yahoo! Go, and Windows Live Search work the same way.
So as a warning to those who might have gotten Opera to work on "wifi" by entering in the APN settings, beware of whether you're incurring data charges. I have a lovely story that goes with that warning involving $50 of data charges from a single hour of toying with apps.
The journey continues...!