In Iphone-speak, allowing it to work on other networks/sims is "unlocking". "Jailbreaking" is something different: it means allowing non-App-Store applications to run. Usually, though, you do both at the same time, as the unofficial unlocker itself is a non-App-Store application. The official O2 unlock will not also give you jailbreak, though.

You definitely need to backup everything before jailbreaking, not sure about unlocking.

Peter