No. Data cables and unlock cables aren't the only way to unlock phones. Anyway in JA unless you have a tri-band phone, unlocking won't help you much(you may disagree). I have unlocked my nokia 3590 (cw) with an app I got from http://www.drugstore.gsmhosting.net/NokiaPage.htm.
I used "Nokia DCT-4 Unlocker by Jic". The instructions are straight forward.
Well that's the only phone I've unlocked this way. If anyone knows about any app to unlock sony ericsson's please let me know.