If my iPhone is network unlocked and I have Wi-Fi at home, how do I connect to Wi-Fi without a Data Plan?

My iPhone isn't network unlocked, which means it isn't an AT&T, Rogers, Verizon, Sprint, or etc. Phone and has no SIM card.

I think you connect it the same way you would an iPod or iPad

Well, it's simple. Go to Settings>Wi-Fi>look for your wireless network and connect to it.
However, if your phone is on the setup screen, you need a SIM card to continue.

And if your phone is NOT network unlocked, it means it's locked to a carrier; which means you'll need that carrier's SIM card to continue.