That isn't necessary if all you want to do is switch SIMs.
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The AT&T portal does NOT unlock the device. It merely asks AT&T to approve and provision the unlock with Apple's device activation database. The actual process of restoring the device in iTunes is what then processes that unlock and applies it to your device.
You need to process your unlock in iTunes if you want the unlock to be applied to your device.
Do I need iTunes to unlock my phone from carrier