Not all US iPhones are unlocked fully yet. If you were lucky to buy one with version 1.0.0/1.0.2/1.1.1 of the firmware, then you are good to go. But if you have the newest iPhones (including ones sold in the UK), then you got version 1.1.2 with newest bootloader, then you are out of luck so far.
See more details here
about the iPhone unlocking status.