IPhone consistenly shows "No Service"?

My father got an iPhone 4 off of his boss, which was locked to O2 and is fine for my father since he is an O2 Customer.. So he used it until he got his new phone and passed the iPhone onto me, I had to convert my SIM from the large one to micro Sim and follow the instructions(which I did), but I just don't get any service... Oh yeah, and my Sim is an o2 as well. Any solutions without voiding my warranty?