If you want to keep your baseband there are only two tools that will let you do that Sn0wbreeze(Windows) or Pwnage Tool(Mac). So if you want Sn0wbreeze go to iPhoneheat.com and look for the 4.3.3 method. Are you unlocked? If you are unlocked make sure you choose Expert Mode and the activate the phone option. If you aren't unlocked make sure the activate the phone option is unchecked.
If your SHSH blobs are saved for 4.3.3 then you will need to search on the web how to edit your hosts file to have iTunes look either locally or to Cydia for the blobs wherever you have them saved. I just want to ask how do you have 4.3.3 blobs saved if the phone is on 4.0.1? You can probably use Tiny Umbrella to do this but I don't have much experience with the program so look it up.
If you want to backup your game data I find the best way is to use iPhone Explorer and copy it to your computer. You can post up for a couple of people who have done it and they will tell you where they found the save files.
Thanks for the reply. Regarding the 4.3.3 blob, it says "SHSH: iOS 4.0 ... ... 4.3.3" at the Cydia start screen, so I suppose that means that I/Cydia have it?
You asked if I'm unlocked, that is what ultrasn0w does isn't it? I have it installed in Cydia so I guess I am? However my phone isn't actually locked to a carrier any more, it was just the first year (not like in some countries where it's locked for life to AT&T et c)
Anyway I looked at the guide at iphoneheat, "How to Jailbreak iOS 4.3.3 with Sn0wbreeze 2.7 [iPhone 4, 3GS, iPad, iPod Touch 4G, 3G]"(can't post link), and in step 5 says "If you depend on unlock make sure Activate The iPhone [Hacktivate] option is checked/selected". I guess I can uncheck that then since I don't "depend on" unlock?
Also, where does the 4.3.3 blob come into the pricture, I can't see anything about it in the guide?