If you have not already jailbroken it will be easier to follow one of these tutorials which will walk you through both jailbreaking and unlocking.
To check your baseband you can follow these instructions.
Press to launch Cydia from your iPhone Springboard.
Press to select Manage from the tabs at the bottom of the screen.
Press the large Sources button.
Press the Edit button at the top right of the screen.
Press the Add button at the top left of the screen.
Input http://www.blackra1n.com as the source address then press the Add Source button. Once Cydia has added the source press the large Return to Cydia button.
Press the Done button at the top right of the screen.
Press to select blackra1n.com from the list of sources.
Press to select blacksn0w from the list of packages.
Press the Install button at the top right of the screen.
Press the Confirm button at the top right to begin installation.
Once the unlock has been installed successfully press the large Return to Cydia button.
Wait a few minutes for your CommCenter to restart and you will now be able to use the SIM card of your choice on your unlocked iPhone!
***THANKS: Congratulations and thanks to Geohot for making this unlock possible. You can donate towards his efforts at www.blackra1n.com.