If I buy an unlocked iPhone 4S, can I swap sims when I go abroad?

I've heard that the iPhone locks to the first sim inserted, but also that this is only true if you buy the iPhone from places like carphone warehouse - if I buy an unlocked iPhone 4S from the apple store, will I be able to use my UK SIM card when I'm at home and put my italian SIM card in the phone when I go abroad and then change back when I come home again?