Please do not!
Do not listen to any bullshit on the internet, even if you preserve the baseband using redsn0w while Jailbreaking there is no known way you can pass the activation process without an original sim (At&T, Rogers, etc.. )
I gave it a try yesterday and I jailbroken my iPhone on iOS 5 and preserved the baseband on 04.10.01 with SHSH blobs in order to downgrade if I got stuck (which I was), I created the custom firmware and put my iPhone in DFU mode, I first restored my custom firmware with iTunes and then I used RedSn0w for mac to Jailbreak, when I did the Jailbreak I pushed the Deactivate button on RedSn0w 0.9.9b7 to escape the activation process, when the process was done I had to Boot Tethered from Extras, and it was still stuck on the activation process.
To make the story short, I spent more than 5-6 hours trying to escape the welcome screen and activate my iPhone iOS 5 without having an official Sim. I looked on every website for leads or a possible solution with no help what so ever. There are many other people who have not reserved their baseband, and now are stuck, possible for a long time.
If you were intelligent enough to preserve the baseband while trying the new iOS, I can help. Just contact me on the comment below. I will write a detailed tutorial on how to downgrade your iPhone to any pervious version if you have preserved your SHSH.
For the mean time, please do not update your iPhone till there is a clear way on how to skip the welcome screen.