Thanks for the replies.
DHL, it wasn't that I didn't read the 3 replies. All the above replies simply state that it is safe generally (plus "possible unlock"). I know many jailbreakers don't care about unlock. That's why I wanted a clarification on the baseband. Because once the new baseband is in, the unlock is probably gone forever, unlike the firmware update. It's better to be safe than sorry.
But thanks again to everyone who replied!!