This is how to do it:

1. Jailbreak your iPhone
2. Install Bossprefs with Cydia
3. Install MobileTerminal with Cydia
4. Install yellowsn0w 0.9.5 with Cydia
5. Disable every service in Bossprefs and reboot iPhone using Bossprefs
6. After reboot as soon as you get signal, swap SIM-card to your prefered SIM-card
7. Start MobileTerminal and run: yellowsn0w -c and then yellowsn0w -r
8. Turn on airplane mode and turn it off again
9. In Bossprefs enable every service and reboot
10. After reboot turn on airplane mode and turn off airplane mode. I hade to do this twice to get a signal after 10-15 seconds

1. Synchronize your iPhone with iTunes. During synchronization, iTunes makes a backup of your iPhone. We need this backup later on in the process. It’s also nice to have a fresh backup in place just in case something goes wrong
2. Download Pwnage Tool 2.2
3. Start Pwnage Tool 2.2
4. Click on Expert mode at the top and then on the iPhone 3G picture. Now click on the arrow to proceed to the next step
5. Pwnage Tool starts searching for a firmware package and will most likely find one (iPhone1,2_2.2_5G77). If not, you can always download it here, save it somewhere and browse to the package using the Browse for IPSW in Pwnage Tool. Mark the package and continue by clicking the arrow down right
6. Mark General and move on
7. Unmark Activate the phone and continue to the next screen
8. You can’t change anything in Bootneuter settings so just move on to the next screen
9. Leave Clydia settings untouched and continue
10. Two packages will be installed: Clydia Installer and Installer, continue
11. I don’t want new logos on my iPhone so I uncheck Boot logo and Recovery logo
12. Now you’re back in the main screen. Select Build and continue
13. Pick a place where you want to save the custom firmware and click on Save
14. Now the custom firmware is beeing build. Somewhere during the process you are prompted for your password. On my Macbook Pro this process takes about 4 minutes. On the question if your iPhone 3G has been pwned before just answer no
15. Connect your iPhone with USB and follow the onscreen instructions after this. The instructions are rolling over the screen quite fast so make sure you are awake. ;-) If everything goes well, a message is displayed saying that you successfully entered DFU mode. If not, disconnect the USB cable, turn off your iPhone, turn on your iPhone again, plug in the USB cable and wait until Pwnage Tool says you should turn off your iPhone. Now you can start over again following the instructions. Once you managed to get in DFU mode you should close Pwnage Tool
16. Now iTunes detects your iPhone needs to be restored. In iTunes at the iPhone page, press the Alt/Option key and click on the Restore button. You can now point out the custom firmware Pwnage Tool built for you
17. The custom firmware is being installed. After installation you restore settings, apps and songs from the backup you made i step 1 (iTunes automatically offers the possibility to do a restore after the firmware installation). After the restore your iPhone will reboot and you’re done!