Hi there
Apple do not send you any communication. You may get an email from Vodafone saying that the phone has been unlocked - this usually means that Vodafone have processed your request and passed it on to Apple to action. Apple then take their own sweet time to unlock it, about 7 - 10 working days usually.
You can check to see if your phone is unlocked: connect it to iTunes with a non Vodafone SIM card in it. When you do this, if the phone is unlocked, you will get a message in iTunes tellling you so.
So no, you don't have to keep your SIM card in the phone - you actually have to take it out at some point!
