First, confirm that the iPhone has one of the below basebands (check in Settings > General > About):
4.10.01 | 3.10.01 | 2.10.04 | 1.59.00
If it's anything other than the four listed above, it cannot be unlocked at this time.
If it is one of the above basebands, follow these steps:
1) Insert Gevey SIM along with the Italian SIM into the iPhone
2) Turn the iPhone on and confirm 'No Service' is stated on the top left corner
3) Wait until there is one bar of signal shown
4) Dial '112', wait for two seconds then hang up
5) Turn on airplane mode in Settings and wait until there is a 'No SIM inserted' message
6) Tap OK, then turn off airplane mode. There should be a 'SIM Failure' message
7) Turn airplane mode on, then turn it off
8) The phone should then receive signal from the local carrier
These steps will have to be repeated every time the phone is restarted.
Personally what I would do is sell the phone on eBay and just buy an officially unlocked device instead- much less hassle.