Yes, you will have to re-customize them. However after you unlock the phone it will be just the exact same as when you first got it, so all of your market apps will start to download. You will just need to set up your preferences and screens again.
This is why it is advisable to unlock and root early on before you get everything the way you want it. I can tell you though it is worth it, plus lets be honest having to set everything back up just gives you another excuse to play with the precious more...