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On beta 3 it didn't work for me either but resetting the network settings helped. Haven't checked to see if MMS was working on Beta 4 yet.

what carrier do you have and which iphone model? i tried everything... went to AT&T and apple got a new sim card and all still no luck at all! i just updated to beta 4 and still not working
 
tried that it doesnt work... been like this every since beta 3

A friend of mine had same issue on iOS 5 on her brand new iphone 4S turned on iMessage which will be happy using Wifi if available but MMS would not go through. we found the issue.

check "settings-->general-->cellular" and make sure "Cellular Data" is on MMS requires cell Data even with WiFi enabled as MMS goes directly through your Phone carrier
 
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