TUAW publishes a statement from the iPhone Dev Team who promise to release a relocking tool next week:
We will provide you with a tool in the next week which will be able to recover your nck counter and seczones and even enables you to restore your phone to a Factory-like state.
If they are able to restore to a "Factory-like" state, then relocked iPhones should be able to undergo future iPhone updates without risk.
The previously published relocking guide does not appear to work at this time. Since the state of these tools remain in flux, I'd recommend anyone with an unlocked iPhone to simply wait for futher testing before proceeding.