I asked my network provider before I left the UK, if I would need to do anything with my Blackberry when I arrived in New Zealand... They replied that 'no, it will work'.
So, when I arrived in Auckland and swapped out my UK purchased O2 sim card for a New Zealand sim card for Vodafone that I had purchased in advance from
http://www.0044.co.uk/ , I couldn't understand why it didn't work.
I went to the Vodafone shop on Queens Street who recommended a mobile phone shop on K Road who would be able to sort it out.
Morale of this story: Not believe when your network provider tells you. And there's always a way to resolve this issues.
I expect that your iPhone might need a similar approach but apart from a couple of hours, it'll be resolved and this will become one of those stories you'll retell when anyone mentions unlocking UK purchase phone for NZ.