If you are sure to have the v1.02 iPhone Firmware on your baby, then you can UNLOCK it easily without hardware modification. Just follow the instruction on the linked page. Of course everything at your own personal risk.

The software itself is LEGAL and considering that there are no commercial iPhone games yet, it will just enable you to try out homebrew stuff. We believe there is no economical damage at this time of posting.

http://www.freeiphoneunlock.com/unlock/