A thread regarding downgrading from 1.1.2 to 1.1.1
http://hackint0sh.org/forum/showthread.php?t=15272
seems to be a great resource (was linked to in Gizmodo, in case that adds credibility), with many follow up reply posts.
it is possible to do, so don't let elander scare you; It just means it will take more work than if it were 1.1.1 already. Obviously I can give no guarentees because I haven't tried it myself (I am using an unlocked 1.1.1 iPhone in Australia, but it was boughed on eBay pre-hacked).
and anyway, even if it turns out you can't do it, I can guarantee eventually a 1.1.2 jailbreak will come along. so the worst case scenario is that you will have to just stare at the phone for a while. that sounds like torture though!
obviously all this is risky, so the usual warnings apply, but there is a pretty friendly and enthusiastic community out there, so you should get plenty of support.
AS for legalities, I don't see anything illegal about it. There is a specific mention in the DMCA regarding phone unlocking for a start, and frankly....(expletive) apple! I have been sitting here waving my money at apple for the last 6 months and they refuse to take it, so I personally take extra delight in owning an unlocked iPhone.