Well, if you bought the iphone with the 1.1.2 out of the box, then, as of today, there is no way AT ALL to downgrade it. Don't believe in anybody that tells you otherwise.
Now, if you upgraded from a previous firmware, you can simply download the firmware you want (in your case 1.1.1) and then perform a restore (connected to itunes, shutting the iphone off holding power key and home key, then when phone goes off, let power go but keep holding home. That will make iTunes recognize your iPhone in restore mode). When you do that, hold shift button and press restore. That will ask you what file do you want to use to restore, use the one you downloaded (1.1.1). It will still probably give you an error message in the very end of it, but you will be running 1.1.1.
I never done it myself with an activated iPhone, but that's how I would try. good luck