Apple has released the latest firmware iOS4.0.2 to patch the pdf vulnerability exploited by JailbreakMe in order to jailbreak iphone 4. This is basically a security patch released by Apple. If you have security concerns , you can go ahead with updating your firmware on your iphone 4. However doing so will void the jalbreak you have done using Jailbreakme and it wont work again.
This was the last tweet from a member of the iPhone Dev Team , only after which the iOS update was released today :
To avoid any possibility of losing your jailbreak and apps, back up your SHSH blobs now. Jailbreakers are warned not to do upgrade attempts until any new development of cracking the new firmware is announced.