You may read up on this link as well: http://forum.lowyat.net/index.php?showtopic=926641

From that link, most officially-locked iPhones that have been upgraded to 2.2.1 will have their baseband automatically upgraded to 02.30.03, and currently there is no unlock solution for that yet. Even downgrading the firmware from 2.2.1 to an earlier firmware will not change the baseband back.

Sorry. I guess nothing much you can do except use your iPhone as an iPod Touch first, until the DevTeam comes up with a solution to unlock the 02.30.03 baseband.