Hello @Anonymous and Welcome to the Community.
As you do have a Cooling Off period speak to O2 Customer Services asap to advise of your 'change of mind.'
T&C Link
http://www.o2.co.uk/termsandconditions/mobile/our-latest-pay-monthly-mobile-agreement"2. The Change-Your-Mind Period – If you change your mind about your Mobile Phone or selected Equipment you've got from us, you can return it once and exchange it for another within the 14 day Change-Your-Mind Period which will be communicated to you as part of the sales process and/or on your till receipt and then in your welcome pack. You'll only be able to do this if the Mobile Phone/Equipment is undamaged, unlocked (i.e. free of security or software locks), in its original packaging and you bring in your proof of purchase with it. If you'd rather, you can return your Mobile Phone/Equipment and cancel your Pay Monthly Mobile Agreement during the Change-Your-Mind Period. If you've taken your Equipment from us under a separate Hardware Plan and you are withdrawing from that Hardware Plan after the Change-Your-Mind Period, you will have to pay in full for your Equipment. If you've just taken Services from us then you can also cancel within the Change-Your-Mind Period. You agree that Services will begin immediately if you already have a SIM Card or when you receive that SIM Card. You'll have to pay for any calls, texts, data and other charges you've incurred, including during the Change-Your-Mind Period. For full details, ask in store or see below for our policy on repairs and returns. Details are in paragraphs 10, 12 and 13 of the Agreement and on our Website."
All points of contact are in this link
http://www.o2.co.uk/contactusTell them if you have started any migration from Orange to O2 via a PAC Code ,which would move your Orange number to the o2 Nerwork.
An alternative if you like O2 would be to get your phone unlocked via orange ,or sell / return that phone and buy one on O2 or already unlocked.
If any Automatic Direct Debit has been set up on your account (Contract Consumer Accounts Only) then I strongly urge you to leave it in place for a couple of months , just incase ,as we have seen here that people's credit files can be affected with the ensuing avenue to rectify being a long one. As its only just been ordered I don't actually foresee that happening ,but better being careful.
Any accidental amounts taken are returned by O2.
Take care.