Update 1: Bluetooth doesn't work as of this release, and neither does Skype. New redsn0w should fix it when it leaves beta status.
Update 2: Betas 5 and 6 have been released since I wrote this, which fix bluetooth and skype, respectively. The link to redsn0w has been updated. The Dev team also says on twitter that they are working on porting the untether to work with a 4.1 IPSW, instead of the 4.2b3 beta firmware only available to developers.
This link has the instructions you need. But the short of it is:
1. Jailbreak with redsn0w.
2. Boot tethered.
3. Update Cydia.
4. Boot tethered again.
5. Install openssh in Cydia.
6. Use jailbreak monte in redsn0w. Note that this requires the 4.2b3 restore file
Here are the files you'll need:
Don't pirate this. You should have joined Apple as a developer and downloaded it legitimately.
Enjoy! I'll probably be doing this with iPad, so I'll post another one of these when I do.