PwnageTool is a tool for Mac that jailbreaks iOS 5.0.1 and 4.0 through 4.3.3 (on most devices except iPad 2 and iPhone 4S), and 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".