First, download the latest version of redsn0w. After you’ve done this, proceed as follows:
1.) Make a backup of your phone.
2.) Install firmware 3.0.1
3.) Download firmware 3.0 and bootloaders 3.9 and 4.6
4.) Use redsn0w to patch firmware 3.0 (select “unlock” and “cydia” only)
5.) Reboot your iPhone and let iTunes restore your data from a backup.
Success! In the process of restoring your contacts, photos, and apps, iTunes will automatically upgrade your firmware to 3.0.1 (previously downloaded) and you will not have to worry about jailbreaking your iPhone again because the original jailbreak remains intact.
Works for me!