I also bought a sim free hero and had trouble with settings from 3, but after lots and lots of playing about, i've managed to get everything sorted and before u ask, 3 did not help me lol.
Server: 3 MMS
MMSC <not set>
MMS Proxy:
http://mms.um.three.uk:10021/mmsc
MMS Port: 8799
MMS protocol: WAP 2.0
MCC: 234
MNC: 20
APN type: default
My MMS works fine with the above x