Basically this is very thin microchip which goes underneath your original SIM card and slides into SIM card place in the mobile phone. This fools phone into believing that it uses locked network card and you can use it as a normal phone.
The only downside is that you need to cut top of SIM card to allow microchip to fit but it is quite simple and does not damage SIM card memory.
I have tried it on my SE W880i locked onto Orange and it worked with 3 SIM card.
For $3.93 it is much cheaper alternative to unlocking and it does not affect phone warranty if it is new. And if you buy another phone you need just transfer it.
There are quite a few of these in Dealextreme (for iPhones as well) so might give a try.
Quote from Dealextreme:
Designed to unlock operator locked Nokia phones
Simply slide the attachment under your normal SIM card
Ultra-thin film-like design minimizes and sometimes avoids the need to cut and trim SIM cards
Manufacturer claims that this also works on some models of the following phones: