Depends what version firmware you have on the phone
If it is 2.2 then don't upgrade to 2.2.1 as it will update the baseband to 2.30.03 if the phone is brand new with 2.2.1 out of the box it has the new bootloader so then you won't be able to unlock it with yellowsnow anyway.
You can do a custom update to 2.2.1 with pwntool (need a mac) that does not update the firmware and you can use yellowsnow to unlock it.
In the future don't update as you will lose your unlock and your jailbreak without checking first