Using different SIM (legal unlocked by o2 UK)

Hello everybody,
I have an iPhone 3GS in the UK. o2 offers to unlock the iPhone to use a different SIM for free. I used this service and got the message that my iPhone is unlocked and I have to switch the SIM and connect my iPhone with iTunes afterwards. I did so, but always when I switch off my iPhone, for example when I used an airplane, and switch it on again I have to connect the Phone with iTunes. This is quiet annoying, because right after the flight I don't have computer with me.
My questions is: Is this normal, or did I do anything wrong? Can I change this so that my phone doesn't have to be connected with iTunes after switched on with a different SIM?
Thank you in advance for your help.

Thank you a lot to everybody.
I don't know what the solution was at the end but now I can change the SIM cards without using iTunes between all the time.
I tried what you guys suggested. I made a back up and restored the I phone. During this process I got a message that the I phone is going to activate, at that it will take a moment. After 30 seconds it said that the phone is activated.
So I could be that the restoring process was the solution or that I just disconnected the phone to early from the Computer / iTunes before that the process couldn't be completed. Perhaps I will find out in the future when I have another iPhone. But I hope that the next iPhone, which I will buy, will be sold without SIM card lock anyway!
THANK YOU ALL AGAIN!

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Using different SIM (legal unlocked by o2 UK)

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