No, this is a common misconception, and one the mobile phone companies (unsurprisingly) aren't keen to dispel. The confusion arises because unlocking and unblocking are often mixed up, yet mean different things.
- Unlocking is totally legal. It just means making the phone work with any Sim card.
- Unblocking is illegal. This is the practice of making a phone work again after it's been blocked by the networks, usually as a result of its being reported lost or stolen. Unsurprisingly, It is thoroughly illegal and should not be attempted.
But what about my warranty?
While it's not illegal, unlocking your phone WILL invalidate its warranty in most cases. Thus do think twice if you're still in the warranty period and have a super-expensive handset; while it's possible to 're-lock' some phones, this shouldn't be relied upon.
Is there any way around it?
It's possible to get a 'Sim unlocking attachment', which is a little device roughly the same size and shape as a Sim card, which goes in the handset's card slot alongside the Sim itself. Effectively, the device unlocks your Sim to make it work with the handset, rather than the other way around, so your phone warranty remains intact when you use one (though obviously you can't sell the phone as 'unlocked', because it isn't).
Whilst these claim to unlock most handsets, feedback has been patchy so far. If you've used one, please report your experiences in the Mobile Unlocking discussion.