If you have taken out a contract with 3 UK from a shop, you DO NOT have the right to return the phone or to cancel the contract once you have left the shop! There is no such thing as 14 days of grace period! Now, I do believe that this is in breach of a consumer's right and they think that many people does not know about it.
They will not inform you as to your rights to return the goods within a grace period because they don't allow customers to do so! So, think about it, alright? It could be cheap in the short term of taking out a contract with them but if you are wondering whether you can cancel the contract within 14 days, no way, not with 3 UK. They have no respect for consumer's right!
It will be different if you ordered a contract online. You do get 14 days grace period provided you have not used the phone or the sim card at all. If that is the case, how are they going to justify 'try before you buy'? A simple thing - don't take up a contract from 3 UK unless you are absolutely sure about it. Be very careful with 3 UK. They are horrible people.