By law all mobile phone operators must let you buy unlock codes from them (handsets locked to their network, obviously). The problem I had with T-Mobile is that their policy is you must be a customer of T-Mobile (PayG) for at least 3 months before they sell you the unlock code.
I have checked for you and this is the same policy for Orange. They also charge £20.42 for the iPhone 4 unlock code.
In regards to the Micro SIM, I had problems getting one from them too for my Lumia 610 (even though they sell the Lumia 610) so in the end I just went with another operator. I would recommend getting a SIM card cutter and cutting your old SIM card down to the new Micro SIM size.
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Also, before you get the Orange device unlocked, I would try using the VM SIM card in the Orange locked iPhone as it might work.
Unlocking:
http://help.orange.co.uk/orangeuk/su...ersonal/474187