Unlocking Question

I bought an iPhone with O2 and I'm thinking of unlocking it because I also have a Vodafone sim card for work and I'd like to use my iPhone while at work so I was wondering....

If I unlock it will I still be able to update it and do all the usual stuff like firmwares etc once I put the O2 sim back in, or is it deemed unlocked by Apple either way??

Also, what's the best way for unlocking it? Online or bring it to one of those unlocking shops!

Cheers!