locked to first sim?

If you purchased a factory UNLOCKED phone which are shipped without a SIM card, it does NOT become carrier locked to any carrier.

Apple also sells carrier locked phones that come with a SIM card installed. Those phones remain carrier locked to the original carrier and will work only with a SIM from that carrier.

Here in the UK however, when you buy one on a network, the SIM is not pre-installed. Apparently, the iPhone in that case will lock itself to the network of the first SIM you put into it.

That is what was stated on the Carphone Warehouse website anyway - they also state that if you make a mistake and put the wrong SIM in first (don't know how this could happen), that Apple would help you. Not certain if it holds true for iPhones purchased direct from a network though...

When you purchased this phone from Apple, was it sold as unlocked?

In that case, you should be able to put any SIM into it.

You may however need to sync with iTunes the first time you put a different SIM into it. But if it was bought simfree, then the IMEI number will be held on Apple's database as an unlocked iPhone, so you shouldn't have any problems.