Good Afternoon...
While i'm very new to the unlocking/modding community, i'll tell you how i've had success.
The first thing I do is make sure i have all of the files/information I am going to need (unlocker, stock rom, custom roms, MSL, etc). I make sure my RUU folder is clear of any previous .nbh (rom) files. Once i'm ready to go, I run the unlocker and follow the instructions exactly.
Once the bootloader screen shows 2.40 Olipro, I flash the HTC 3.56 rom. I do this simply because it flashes the radio drivers. Once the 3.56 rom is flashed, and the splash screens start, I put the phone back into bootloader. At this point, I flash the custom rom of my choice. This does not overwrite the radio driver. Then, I pull the battery for 30 seconds or so, replace, and let the rom boot completely into WM. Once it has successfully booted into WM, and I know it was a successful flash, I hard reset.
Once into WM, the first thing I do is call my voicemail. I could be wrong here but it seems using the phone triggers IOTA and EPST information to complete.
From my experience, you can load as many custom roms on your phone as you'd like without effecting the radio driver. Hope this helps.
