iPhone abroad

I thought there was no problem swapping out an ATT GSM sim for another sim with carrier in Europe, then switching back on returning home to the USA. Recent osts make me think I'm dead wrong. Only an unlocked GSM iPhone can allow the ser to switch sims? Or is the problem continuing to pay for ATT usage while ctually using a foreign service? I'm confused.

It has to be unlocked from ATT to use another sim.

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This applies here as well. My iPhone is locked to O2 and it needs to be unlocked to use another network. Most (all?) phones are locked to the carrier you buy them from.