Thanks - be careful putting the SIM card in. The SIM tray on the iPad is really delicate and it's easy to break it. Be careful, too, that you insert the SIM the correct way. Strictly speaking it can't be put in the wrong way around because the card has a bevelled edge that matches a similar bevel in the iPad's SIM card tray but I've known people try to 'force' it in the wrong way!!
If O2 sent you a SIM card specifically for the iPad (I hope) then it's really a microSIM and is smaller than the 'regular' SIMs that go into most mobile 'phones. It's really tiny. When you received your iPad, it should have come with a small 'tool' that you can use to release the SIM card draw on the iPad. It's basically nothing more than a fine piece of wire that you carefully insert into a hole in the SIM card tray to release the catch. If you've accidentally mislaid the tool be careful what you use to 'replace' it. We had a Member a while ago who tried to use a match stick in its place and the match stick became jammed in the release hole and couldn't be retrieved. It might sound funny but, in the end, the iPad had to be replaced!!!!
Tim