I just found on another thread that upgrading your OS to 4.5 may help in the MMS area, but even there they noted some problems still including a conflict with Docs2Go and MMS. So, if you are not yet a convert to 4.5 it may be time to try it.
tx dbs... Are you on Alltell as well? Perhaps you can offer the OP some help in getting his working. I have seen in other cases where an Alltell subscriber can recieve MMS but not send so it is not completely untrue.
With Alltel you have to update the phones software and mms will work fine.
Im with Alltel my self and had the same issue untill I updated to the newest os.