There's just one problem, Windows Phone doesn't allow you configure the new network settings (like MMS) manually, its usually pre-configured with the Carrier's default settings. you can only manually configure your APN and SMS centre number.
Samsung and HTC windows phones have their own propiertary apps, you can use to help you automatically retrieve and configure settings based on the SIM card in your phone.
and Nokia has theirs too, it's called the Network setup and it recently got updated to v126.96.36.199
Network Setup is an application for users who use more than one SIM card from different operators. The purpose of the Network Setup application is to maintain Internet and MMS services after any SIM card change. When more than one operator network is available, the user is presented with a list to select their preferred operator.
This app works with windows phone firmware 1600.2479.7740.11451 or higher.
I got my Lumia 800 (locked with T Mobile), i was able to unlock it by getting the unlock code from T Mobile Support (you'll have to provide the IMEI code by keying in *#06# on your dialer). i put in my at&t Sim, and was able to manually configure my APN and SMS centre number, however i wasn't able to send MMS since i couldn't configure this manually as WP& doesn't allow you to, so with the Network Setup App, it automatically configured my APN, SMS centre, MMS settings and even Voice mail number.
So if you find yourself in a situation where you use more than one GSM carrier, you'll need to get the Network Setup app, you wouldn't find it if you search from the desktop version of the marketplace, only from your phone directly.
It shows you a list of available GSM networks based on the inserted SIM card, you pick yours and it configures its settings on your phone.
unlocking guide + Network Setup demo:
To get the Network Setup app, open this LINK on your computer (make sure you have Zune already installed on your computer as this link opens the app in your Zune software, ready to install)