I just noticed this too. Incoming mms works fine all the time. Outgoing mms only works when NOT on Wifi. Weird.
I had this problem at first, following the directions in the tutorial linked on page 16. I was, however, able to get it working with wifi by added the following setting under general -> network -> cellular data Network:
MMS
APN: wap.cingular
USR: wap@cingulargprs.com
Pass: CINGULAR1
MMSC: http://mmsc.cingular.com
MMS Proxy: 66.209.11.32
MMS Max: 614400