You need to call o2 to get it blocked so no one can use it and rack up charges that you will be responsible for until the account is restricted.
Call the number in the link and stay on the phone until the end of the introduction when you get the lost /stolen option.
http://www.o2.co.uk/contactusAnother option is love chat, again in the link.
You are committed to your contract so will have to carry on with payments until the contract is completed.
O2 will replace your simcard and keep the same number to put in a phone that you need to either buy or borrow.