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I purchased an iPhone 4 GSM new/sealed from an Apple Store in July 2010
and never needed to connect to multiple Wi-Fi networks until recently.
When I would go from a known Wi-Fi connection to another one,
I would need to go into Settings to reconnect each time.
I figured that I needed to replace the Wi-Fi antenna.
When I took off the back panel, I discovered that the 4.8mm Phillips screw
that grounds the Wi-Fi antenna is not present. So, you might want to first
check that the screw is there and properly secured.