It appears that the instructions included in the Orange SIM pack are wrong as they say when you insert the card for the first time you get text the number, which does not happen.
I went on the Orange website and activated the SIM, put it in the phone and it works.
So it would appear the handset I got direct from Vodafone is already unlocked as it takes both the Vodafone contract and Orange PAYG SIMs.
Thanks