Here's step by step tutorial on how to unlock iPhone 3G without wi-fi connection.
Update your iPhone 3G to OS 3.0. Tutorial on how to update iPhone 3G here
Jailbreak your iPhone 3G with redsnow. Tutorial for jailbreaking iPhone 3G here
Download file here to unlock your iPhone without Wi-Fi.
Unrar the file and run/double click the "Unlock3G_3.0.bat".
Reboot your iPhone 3G.