Dunno if you guys are still looking for a solution to this problem but i had he same trouble and this is the method i used to fix it. (google nexus one, 2.3.4)
Go to settings>about phone>status
Under the section my phone number, if it has multiple numbers or has 'unknown' listed as mine did you need to change this to the number you are currently using.
To do this you need to use another phone that can edit the my number field.
I hear iphones can do this but i personally used my old Sony Ericsson W810i.
The option was in the phonebook under options>special numbers but you may also try looking in the regular settings if its not there. Most older phones should be able to do this.
From there you put the sim back into your android phone. Now that the phone can tell what number is yours you simply create a contact named Me with your phone number and apply a picture to the contact. This picture should now show up in the messaging threads.
Hope this helps.