Gringo, your phone may not be locked.
I was just in our local Orange office asking about using the Orange phone that I previously used in the US with another company. They said they would have to see the phone to tell me. Another customer there at the same time said he took a phone to the US and had no troube using it with another company's SIM card. The Orange employee said, I'm almost certain, that this can be done unless the phone is triband. In that case it would have to be unlocked.
I went and got the phone I plan to use in the US and they said it was not locked, that I could use it with an Orange SIM card or a card of Cingular or T-Mobil in the US.
If you haven't already looked into this, next time you buy a card, do it from an Orange dealer and ask them to check your phone to see if it is locked.