English iphone on australian network?

I have just moved to Australia from England and want to use my iPhone 3g on one of the local networks. I have canceled my O2 contract but am worried that the phone is actually locked to O2 and will need to be jailbroken to work in Aus. I tried a Telstra Next G sim in it but it wouldn’t work. Does anyone know anything about this? Can you unlock from a service provider without jailbreaking the phone? Many Thanks.