PwnageTool is a tool for Mac that jailbreaks iOS 5.1.1, 5.0.1, and 4.0 through 4.3.3 (on most devices except iPad 3rd generation, iPad 2, and iPhone 4S). It is able to preserve unlocked basebands.

Steps: Download PwnageTool. This will come in the form of an Apple disk image file. Copy PwnageTool to your hard disk before running it.

Use PwnageTool to make a Custom Firmware that can be used to Restore your device with iTunes.

When using this jailbreaking tool on iPhones unofficially unlocked with ultrasn0w, you should not check "upgrade the baseband".