Check your camera settings - if your pictures are above a certain size, you won't be able to send them via message. I set my camera quality for 3MP for pics I intend to send via MMS and raise it to max for other pics.
I have no problems sending or receiving picture messages.
That said, (sorry for the slight hijacking, but it's sort of on the subject) has anyone found a way to save a picture from a message to the phone memory? Or an audio file for that matter? I emailed myself a song file for a ringtone, and I can't save it to the phone or the SD card.