Hi,
I can confirm that I am with O2, iPhone4 on contract and the SlingPlayer should be working for you. There could however be an issue with your settings, more like port forwarding on router if you ask me.
I would check that you have forwarded your Slingbox's Port 5001 on your home network. Guide on how to port forward can be found on portfoward.com. I would tend to avoid using other ports for the reason that I tried alternative ports with one of my Slingboxes originally and had no success in connecting to my box over 3G.
I have two Slingboxes you see in two different locations, one using the recommended settings while the other using an alternative port. Never had problems connecting using default port values. I think O2 must block access on certain ports, though when I called to check this, they said that they don't do anything like that.
You are aware that only one person can view the Slingbox at any one time? I am not sure if results will be different for you if you're using a PAYG O2 SIM.