I've not been able to get this to work on my iPhone 4 (I'm also in the UK)
When I go into Maps, it says that I'm currently at:
40-45 My Road and I actually live at 43 (I've changed the numbers for privacy).
As noted by others, the location services icon stays on and the battery drops considerably.
The maps App doesn't seem to get my address completely right though:
It appears as:
40-45 My Road
Wrong Part of Town (nearby, but not correct)
England
Postcode
United Kingdom
Normally you'd write a UK address as:
40 My Road
Part of Town
City
Postcode
United Kingdom (not that you'd usually include that)