It is possible to do so. O2 says that because they do not unlock phones. However, the phone has to be UNLOCKED to use with another carrier.
First restore the phone back to Factory Settings. Go to Settings->General->Reset->Erase all contents
(2nd option). This will reset your iPhone.
If your iPhone is UNLOCKED, you can use iPhone with 3 SIM card. If your iPhone is NOT UNLOCKED, bring the phone to a local phone store (not retail store, but authorized dealer or phone repair shop). Have them to UNLOCK the phone.
After unlocked the phone, insert 3 SIM card to activate the phone. You can use the iphone with 3 then.
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