i believe if you get a phone unlocked through a carrier you have to restore it through itunes (you should back it up and sync it before you do the restore) so you can put everything back)
During the itunes restore you should get a message saying
Congratulations your iPhone is now unlocked
if you have done this ignore my post - and of course trying a sim card like suggested below is the quickest way to test if your phone is unlocked
If you buy the iPhone unlocked (not get a carrier to unlock it) you shouldnt need to go through the itunes process - i didnt for the iphone 5s i bought directly from Apple