To check whether the phone is locked:Power on Samsung Galaxy S AT&T Captivate
Go to phone and enter *#7465625#. If the Personalizatiob Status says the network lock is OFF, Congratulations, you phone is already unlocked and ready to be used with other carriers.
To relocked the phone (for warranty service):Remove sim card
Power on Samsung Galaxy S Captivate for AT&T
Enter *7465625*638# and relock the phone to another network
Leave a comment if it works for you!