Make sure the gevey you have is compatible with your iPhone, your iOS and baseband version and follow their instructions.
If all it's right and still doesn't work maybe it's a defective gevey chip.
I tried with my friends sim (from another carrier)(micro sim) and it worked, could it be it that I have nano sim? (Yes i know that doesnt fit there but i managed to put a small amount of tape onto the sim card and it's tray and it recognized my sim but without the gevey (askin for activation)
If you are trying to use a nano sim in a 4S and it doesn't work, the 1st thing I would do is get a micro sim from my carrier and see it that fixes the issue.