OK - this is a bit of a tricky one. Many 3G phones use different types of SIM cards to "normal" i.e. 2G or 2.5G GSM phones. 3G phones use a USIM card which has extra bits compared to a normal SIM card that you'd put in a standard phone.
3G phones are backwardly compatible to GSM - they have the GSM "stack" built in. The 3 network actually uses O2's network for all non-3G traffic i.e. if there is no 3G coverage, it roams onto O2's network. This is why it will work on GSM networks. When abroad, your 3G phone will also roam onto GSM networks with whom 3 (or O2) have a roaming agreement.
Bearing in mind all of the above, it is unlikely you'll be able to unlock the phone to use a different operator's SIM, as the Orange SIM itself probably wont be compatible with the 3G phone.
Sorry for all the "likely" and "probably"s in this, but I've never tried it and cant be sure.
Generally, the best place for unlocking phones is on Tottenham Court Road so if you are anywhere near there it is worth a try, but I think you'll be unlucky.
