If you want to restore a later version of the firmware, but leave your old baseband, simply pull the USB cable out of your phone at the right time.

A simplistic way to look at the restore seqence is as follows
1. preparation (preparing iphone for restore, etc)
2. update the firmware
3. verifying the firmware <- pull the plug out here
4. updating the baseband (if its not already the same version or later)
5. verifying the baseband (if it wasn't already the same version or later)
6. boot in normal mode

Once you pull the plug, run ibrickr or equivilent to put the iphone into normal mode so it will boot the new firmware
I actually pulled it out the moment it said it was doing 4, but i image anytime during 3 is fine as all its doing is reading back the firmware to make sure it wrote correctly.
note that the itunes message for 2. and 4. are the same, and 3. and 5. are the same

Now the weird part in my experience.
I started with an iphone that was activated, but disconnected (said no signal), running 1.1.3 NOT unlocked.
I then did the half upgrade as above, and while the phone was saying it was waiting for activation, I swapped in my australian sim, and it connected to vodafone no problem. And it survived rebooting except for the activation, yet I could make normal calls while it was in the emergency calling only screen. I repeat that the 1.1.3 baseband was NOT unlocked when I started. I also jailbroke it with ziphone. So it appears that all I need for this particular phone is 1.1.4 activation.

Interesting find. I would never have dared to pull the plug during upgrade.

This seems to be a very dangerous proposition. I urge people not to try this.

I would agree with drg. You pull it at the wrong time and you have a brick or damaged baseband.

//Rob