Well it depends what version software its running. Also if you have a problem and restore it you will have to re jailbreak it and unlock it again. Or if you update it to the latest software by mistake you wont be able to unlock it. Thats why i sugested doing it through o2 as whatever you do it will be always unlocked
You don't mention which model you have but I don't think that O2 are unlocking the iPhone 4 yet.
It's well worth £15 to have it properly unlocked by O2/Apple as then you never have to worry about any future update to the firmware or iOS breaking the unofficial unlock. It will also add more than £15 to the value of the phone