It can be done, but only using an American iPhone with the older bootloader. For example, I have an iPhone that I bought the first day. I unlocked it and am using an Orange UK sim when I travel to London tomorrow. And hence the reason why people are paying well over 300 quid on ebay, because they are getting iPhones with the older bootloader, which is enabling them to be software unlocked.
Just so you know, there is a person on eBay UK selling US Unlocked iPhones (v1.1.1) for just £209.99 + £19.99 delivery. They're being snapped up fast. The userID of the person is cherryand1943.
Do not buy. Apparently it's a dodgy deal. Looks like I'm £230 down 🙁