So we head back upstairs to handle the hardware tasks (clue one to the low cost option). 

We deconstruct a paper clip to open the SIM tray (works in all languages!). We pop out my US SIM and I carefully label and store it for the future. 

We examine the new SIM and scratch-off the pin number. 

We slide the SIM into my iPhone... and power him up. 

I enter my device password... 

And we're greeted with a Big Brother style message saying my iPhone is Locked and I cannot use the SIM for this carrier (Wind) unless my former carrier unlocks the phone. 

Damned American telecom protectionism!