As far as I am aware, you cannot get Data Sense if your phone is still AT&T branded. Back when I got tired of waiting for AT&T to release the Amber/GDR2 update, I went ahead and flashed my unlocked Lumia 920 to remove AT&T branding (http://forums.windowscentral.com/no...h-any-lumia-920-full-amber-gdr2-features.html
), and then immediately got the full Amber/GDR2 update with Data Sense, and I now have the GDR3 update (via MS Developers). The process was a pain, and not without risk (voided the warranty and had a small chance of bricking the phone), but it works better than ever when it was AT&T branded, and they no longer have the ability to strip out features from my phone.
I would assume that there is a similar process for a 925, and hopefully you can skip ahead to GDR3 without dropping back and having to update through to GDR3 again, but I don't have info on it (perhaps check with the folks in the posting I referenced above).
More importantly, we all need to put some pressure on AT&T to stop stripping out key features of the OS. They have told me that MyAT&T does what Data Sense does, when it is not even close!!! Data Sense tracks usage across cellular plans and WiFi, and does so broken down by individual apps, so you can tell what your data hogs are. The only thing DS doesn't do that MyAT&T does do is exactly track usage against your plan (DS can approximate if you put in the billing period, and it can even put usage in a "lite" mode if you near your data plan limits). AT&T also told me that their network can't support DS, which is BS, as DS doesn't even touch the network; all of its tracking is internal to the phone (the network doesn't can't even tell that it exists). I'm still on the AT&T network, using Data Sense now, and since stripping out AT&T branding, the phone is more stable than ever.