It's a bit 'horse has already bolted' stuff but if you're going to pay full price for an iPhone you're better off going direct to Apple - there's are supplied natively unlocked and open to all networks.
To put this as simply as possible, O2 are lying to you if they are telling you that they cannot unlock an iPhone 5. I just checked with my carrier here in Canada and of course once the contract is finished they can and will unlock an iPhone 5 for a small fee.
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