What network are you using because some of the secondary parasite operators the likes of Virgin, Giff gaff, Tesco, BT Mobile, Lyca and Libara are very difficult and in some cases impossible to set up correctly on an iphone.
To set these up you need to be able to see a additional menu in settings.
Go to settings/General//Network.
Here you may see an additional Menu called Cellular Data Network however not always and that's the problem.
It only shows if the sim card supports it and many of those parasite cards simply don't
If you are lucky and BT Mobile for one does support and show this menu you can tap on it .
Here you can modify and add the correct MMS strings for those networks, rather than those of the host network.
It should allow you to send/receive SMS and MMS messages.
If this menu does not show you are stuffed unless you jailbreak.