I have read on several sites that its very difficult to use the iPhone 4 with the AT&T sim as either Apple or AT&T block access when they realise you are trying to use it with the iPhone, seems you can be cut off/restricted within a few mins.
If anyone has managed to use their unlocked UK iPhone with AT&T & been able to fully use the added on data plan, can you post the settings you used?
If anyone has managed to use their unlocked UK iPhone with AT&T & been able to fully use the added on data plan, can you post the settings you used?