If it was officially unlocked by Vodaphone, it should remain unlocked when you update the operating system on the iPhone, the current version of which is iOS 6.0.1.
Some people have had problems, but that's been true of every iOS version ever released. The chances are good that things will go smoothly for you.
Note, though, that you cannot downgrade, so you may want to do a bit of research, particularly on the changes in iOS 6 (for instance, Apple no longer bundles the YouTube app and has replaced the Google-based Maps with a service of their own), before you upgrade, just so you're prepared. Note as well that the upgrade will erase your iPhone, so you'll need to have all your apps, media and data synched and backed up to your computer so you can put it back after the upgrade. This support article will probably help: