I have the same problem. I went to o2 and said that I wanted to buy iphone 4. The staff gave me a micro-sim and said that I can call up customer service and transfer my old sim to the new one. I said to him that I was a carhphonewarehouse o2 customer, he said is ok. So I went to Apple to queue for an-hour for the iphone 4. Activated the phone, sync everything from itunes. Called customer service the next day, they said that my contract is a carphonewarehouse o2 contract, so I can't use iphone 4!! Carphonewarehouse don't support iphone 4. And I can ask o2 to do it for me, becasue I'm in my OLD contract!The only thing I can do is to cancel my contract which I have to pay for an extra 10 months!!
That's the problem for using carphonewarehouse for so long. I returned my phone. Will buy it again next year in June- then I shall never use carphonwearhouse again. They are just rubbish. I don't have any discount on my contract and get all the troubles. I'm sure I will only use O2 direct when my contract ends.