Hi,
MoDaCo Rom's are compatible with unlock codes - i'm using one and it's fine
I have just purchased a HTC Hero on Orange. First I installed a custom recovery image which will allow you to then install a custom Rom.
To install a custom recovery image you will need to install the HTC Hero drivers onto your windows PC. Download and install 'Flashrec' to your device via the android user interface on your Pc. Once installed open it up. When Flashrec opens up enter in the box (only one box) '/sdcard/then the name of your recovery file' and select flash.
Take your sdcard out of your Hero and put the custom rom on it then put t back in your device, renaming it to 'update.zip' Now power off your phone, Power back up holding the 'home' button, this will take you to your custom recovery suit.
ALWAYS do a nandroid back-up, this is vital incase you mess something up.
Now select install update from sdcard (or similar, option 2 i think) this will now extract and install the custom rom to your device (follow on-screen prompts)
Once installed you may have to re-boot, when the device re-boot's it will hang on the 'HTC' logo screen for a while, this is normal.
Now put a non Orange sim card, i.e O2 etc in the phone, the phone will ask you for the unlock network code, you will need to get one of these from various web sites, enter this and bam your unlocked.
PM me if you need any further details
Good luck and spread the Android Love!