Do I need to unlock my device if I want to use it in another country?

Yes and no. You do not need to unlock it if you keep using a SIM card from the network that the device is locked to. For instance: if your device is locked to O2 UK and you use an O2 UK SIM card in Spain, you do not need to unlock it (you may have to pay roaming, but that´s a different problem). If you would like to use a any Orange SIM card, yes, you will need to unlock it.