Formatting is stored in:

/System/Library/Frameworks/AddressBookUI.framework/ABPhoneFormats.plist

Download this file from your phone. The file is stored in binary format, so you'll need to convert it to text. Now save this file and open it in a text editor. Change the formatting under us to look like you want (if you find your region in the file, just copy from your region to the us). There's probably some way to just make it use your language (instead of 'us'), but i don't know where you specify that. When you are done changing formatting, save the file and upload it to the iphone in same directory you found it. You don't need to convert i back to binary.

Update for 1.1.1 users: In previous versions locale settings did not apply to number formatting. I noticed that in 1.1.1 it does, so it's better to change the phone's locale configuration instead of changing the formatting manually. Install "Enable International Menu" found in the Unlocking Tools category.

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