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Not necessary. Just put your new non AT&T SIM and connect to iTunes, you should get the message.
In case you don't get the message, check your phone whether you are getting the network signal or not. If you get signal, don't bother with the message, enjoy your unlocked phone.

If no message and no signal, then restore might be needed, there are methods to deactivate using Redsn0w or SAM and then activate using iTunes but that might not work if it is an iPhone 5.
 
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