You need two APNs setup for O2 MMS to work, these are the values for post pay that I use and they seem to work perfectly:
Press 'Menu'.
Tap 'Settings'.
Tap 'Wireless Controls'.
Tap 'Mobile networks'.
Tap 'Access Point Names'.
Press 'Menu'.
Tap 'Add APN'
Now key in the following settings:
Name: mobile web
APN: mobile.o2.co.uk
Proxy: *LEAVE BLANK*
Port: *LEAVE BLANK*
Username: web
Password: password
Server: *LEAVE BLANK*
MMSC: *LEAVE BLANK*
MMS Proxy: *LEAVE BLANK*
MMS Port: *LEAVE BLANK*
MCC: 234
MNC: 10
APN Type: default
Press 'Menu'
Tap 'Save'
Press 'Back'.
Press 'Menu'.
Tap 'Add APN'
Name: O2 MMS
APN: wap.o2.co.uk
Proxy:
O2 Active Wifi
Port:9201
Username: o2wap
Password: password
Server:
http://mmsc.mms.o2.co.uk:8002
MMSC:
http://mmsc.mms.o2.co.uk:8002
MMSproxy: 193.113.200.195
MMS port: 8080
MCC: 234
MNC: 10
APN type: mms
Press 'Menu'
Tap 'Save'