iPhone Dev team has released redsn0w 0.9.11b4 will full tethered support for iOS 5.1.1 jailbreak for older devices. Redsn0w 0.9.11b4 version also enables to create the SHSH blobs, stitch them to iOS 5.1.1 and create custom IPSW for iOS 5.1.1 firmware with preserved baseband iPhone 4, iPhone 3GS.
Now after creating the NO_BB_* custom IPSWs, you can restore your device to this IPSW, which will now update your device to the latest iOS 5.1.1 firmware without upgrading the baseband. Then you can jailbreak your device running iOS 5.1.1 with redsn0w. Do not forget that the redsn0w jailbreak is yet tethered.
You can now use Gevey SIM as with earlier version to unlock your device. You can download resn0w 0.9.11b4 for Mac and windows from the link below. You need to select the “custom IPSW” option for creating the NO_BB_* custom IPSWs for iOS 5.1.1.
We are in process of developing the step by step guide to create custom IPSW for preserving baseband, stay tuned.