This solution originally taken from IDB, it's utilizing the Deactivate option from Redsn0w to maintain your jailbreak after officially unlocking your device.
Keep in mind this solution for jailbroken iPhone only and one more thing, make sure you have firstly followed the instructions to unlock AT&T iPhone using online chat first, then follow the solution from this post.
So are you interested? Then let's officially unlock your AT&T iPhone without losing untethered jailbreak utility of yours.
Step 1. Download Redsn0w for Windows and Mac.
Step 2. Open Redsn0w and then select Jailbreak option.
Step 3. Put your iPhone into DFU mode by following on-screen instructions from Redsn0w.
Step 4. Once your iPhone is in DFU, you will see a screen containing number of options. Deselect Install Cydia and then select Deactivate option. And then click the next button.
Step 5. Redsn0w will be doing its job, just wait for several minutes and your iPhone will be rebooted. The next episode will iTunes is opened informing you that your iPhone is unlocked successfully.
Congratulation you are now having an unlocked AT&T iPhone without losing your untethered jailbreak utility!