Depending on your phone company, your phone will either work as if it was in Italy, or if it was in the UK. If you enter +39.... in your contact list, an iPhone will automatically dial the right number. You can enter +39... on the keypad, which will have the same effect, the phone will do the right thing. I think 0039... will also work; I tried 0044 with my own phone number and it worked (that was O2, other companies might be different). If you just dial the Italian number, your phone might end up calling the UK, as I said, depending on your phone company.
Summary: Dial +39 if you are using an iPhone.