OK, I have a brand spanking new iPhone 4 purchased (from Apple) in the USA yesterday. It is locked to AT&T.
I have a working Telecom XT phone in NZ (Samsung, not particularly smart), and I am now back in NZ.
The intention is to replace the Samsung with the iPhone retaining the same mobile number.
Is there an idiot's guide to achieving this? I'd like to think I'm not an idiot, but an idiot-level guide would be appreciated.

(I trust this question is not verboten on this forum, because I understand unlocking an iPhone is not illegal in this country.)

Cheers