Unlocking is only used if you're NOT using AT&T (T-Mobile for example), so it wouldn't help. I don't have any experience with stolen phones but I would assume if they have the IMEI as stolen there's not a lot you're going to be able to do. If you don't find that you can do anything about it I would just turn it in to AT&T. Supposedly the iPhone is going to be hella cheap soon anyway so just go out and buy one