I didn't. Just popped in a iPhone 4 SIM (with adapter) and everything worked fine.
But, anyway, here are the settings:
Go to Settings/Wireless and network/Mobile Networks/Access Point Names
Hit the menu button, then "new APN". The settings are as follows:
Name: AT&T (or whatever name you like)
APN: wap.cingular
Proxy: leave blank (Will read: <not set>)
Port: leave blank (Will read: <not set>)
User name:
WAP@CINGULARGPRS.COM (Not sure if it's case sensitive, but I left it all capital letters)
Password: CINGULAR1 (Not sure if it's case sensitive, but I left it all capital letters)
Sever: leave blank (Will read: <not set>)
MMSC:
http://mmsc.cingular.com
MMS proxy: wireless.cingular.com
MMS port: 80
MCC: 310
MNC: 410
Authentication type: none
APN type: internet+mms