I recently bought and sold a Nokia lumia and replaced it with an iPhone 4. I am with orange and have been for as long as I've had a mobile phone. When i got the lumia i had to ring orange to send me a special smaller sim as the normal sims dont fit. They sent me the sim and the signal on the lumia was fine. I'm using the same smaller chip for the iphone 4 now and the signal is absolutely shocking. I cant get it anywhere in the house where i could with other phones on orange. When I do get signal, I can be holding the phone in the same place and one min it will say no signal, next it will have a couple of bars. Then show no signal again.
I can use it but I'm just a bit confused as to why it's like this with the iPhone and wasn't like it with any others I had.
Don't think it's anything to do with the sim. iPhones are poor receivers. I've had three different types and they were/are poor in all but 3G areas. One thing I've noticed is that the signal can be fine and them when you pick the phone up it can drop to zero, even from full.
I suspect a SIM either works or doesn't. It'll be the handset that holds the receiver, as Zacs points out. If it is having problems consider complaining to the folk who sold you it.