Worked for me, I used my wife's iPhone contract and her SIM didn't go anywhere near the Lumia (or vice versa)...
It may be a little hit and miss, but I would try over chat and even if you fail first time, try again the next day!
If you've bought the phone as PAYG, just don't mention PAYG (there is a 12-month period before they will unlock in that case) i.e. say something like "I'd like to unlock my new Lumia 620 please" They'll ask you for your (the existing O2 contract) phone number and then the IMEI of the Lumia 620...Then come the security questions, things like full name and certain digits of the security code linked to the existing O2 contract...
Like I say, not guaranteed and it may fail...but worth a few tries at least... ;o)