I have a jailbroken iPhone 4 with 4.0.1 that I used Jailbreakme.com to JB. Do I have to restore it in iTunes before using the Pwanage jailbreak, or can I just do it from it's current jailbroken state?
Yes, like Awadee said above.
You will create a custom JB 4.3.3 with pwnage.
Then you will put your iphone in pwnded DFU mode and then you will hold down option and click restore on itunes. That will allow you to select the custom 4.3.3 ipsw you cooked up with pwnage.
So you will still use itunes but instead of restoring to stock firmware you will just restore to JB firmware.