Make sure to read my pointer on MMS at the bottom of this post as well.
Vodacom:
Here is the settings that worked for me:
Important: First set up tethering, then MMS. The tethering config file rewrites the MMS settings, so only do MMS setup after.
First get Internet Tethering settings from here(from your iPhone): http://wan.to/iphone and download the the settings. The phone will tell you it is not official source - ignore that, Vodacom is not helping us.
You will then see that a Internet tethering switch will appear under settings -> General -> Network.
Thereafter, enter the following settings to enable MMS - go to settings - General -> Network -> Cellular Data Network:
APN: iphone.vodacom.net
MMS settings at the bottom of the screen:
APN: mms.vodacom.net
MMSC: mmsc.vodacom4me.co.za
MMS Proxy: 196.006.128.013:8080
Then got to Settings -> Messages and switch on MMS:
MMS settings at the bottom of the screen:
APN: mms.vodacom.net
MMSC: mmsc.vodacom4me.co.za
MMS Proxy: 196.006.128.013:8080
Then got to Settings -> Messages and switch on MMS:

Thereafter, reboot you phone, and go back to cellular data settings to see if the settings "stuck". Then you can start MMS'ing.
MTN:
Important: First set up tethering, then MMS. The tethering config file rewrites the MMS settings, so only do MMS setup after. Here are the settings step for step:
1) Download the MTN Config file here:http://wan.to/iphone, and install it on your phone.

2) Switch on tethering inside settings -> General -> Network -> Internet Tethering. You will notice a blue bar will appear along the top of screen if you are currently "tethered".

Step 3: Reboot your phone, and then enter the following settings at Settings -> General -> Network -> Cellular Data network.
APN: myMTN
Username: mtnmms
Password: mtnmms
MMSC: http://mms.mtn.co.za/mms/wapenc
MMS Proxy: 196.11.240.241:8080
Username: mtnmms
Password: mtnmms
MMSC: http://mms.mtn.co.za/mms/wapenc
MMS Proxy: 196.11.240.241:8080

After you have entered these settings, go to Settings -> Messages -> and switch on MMS.
Then reboot your phone, and start enjoying MMS.
(Thank to @ LucasGo for the MTN settings. You can follow him on Twitter)
PS: Just a quick tip on MMS. Currently if you have MMS activated, you will find that combined SMS's (which are more than 160 characters) are automatically sent as a MMS which is not great. If you are on a SMS bundle I would recommend you switch off MMS if you do not want unnecessary charges. MMS is not currently parts of SMS bundles in SA.
PS: Just a quick tip on Internet Tethering: If your iPhone does not show up as another connection on your computer, remember to switch on internet tethering and then reboot the phone. I also recommend you rather use a USB cable than the Bluetooth tethering option. The connection is better, and your battery wont be sucked dry. Enjoy.

