The Chronic Dev Team has just released an updated version of Rocky Racoon tweak that lets you go from tethered to untethered jailbreak, has been included with this update also adds support for iPhone 4 with the build 9B208 recently released
To use Rocky Racoon:
1) head to Cydia
2) Perform research tweak the Rocky Racoon
3) We select Rocky Racoon 5.1.1 untether
4) Confirm with "install"
5) Restart the device
Now your jailbreak has been converted from tethered to untethered.