If they say it is already unlocked and not jailbroken it must be factory unlocked, if thats the case then jailbreak away and there will be no problem with the unlock since that is hardware related. I would use greenpois0n to jailbreak as its the easiest way. If you need any help let me know.
1. If you dont need to unlock then i wouldnt worry about upgrading your baseband so no importance at all.
2. You can use TinyUmbrella but this will only keep the shh blobs so you can roll back to a previous firmware but this will not roll back the baseband as there is no way of doing this presently.
3.If you search on youtube there are lots of video's showing how to use greenpois0n and really is easy but if you need help let me know