Normally if bought fully unlocked, it will never get locked to another network, but it has been known to buy the phone from an network, if the sim hasn't been input, it will stay unlocked until you insert the sim, then it remains locked to that network.
You have to contact orange, for a fee of £22 per phone I think it is, orange will apply to apple for the unlock code, this takes roughly 21-28 days, you then get email with details to unlock through iTunes, no other way to do it I'm affraid.