Be aware that with My Backup (free) and My Backup Pro (paid), even though they backup MMS, there's a problem after restoring said MMS: if you're using the stock Messaging app and attempt to delete a thread, it'll delete it and then an empty version of it will reappear that you can't delete.
I sent them a bug report and they weren't able to fix the problem - their solution was to have me load an alternate messaging app.
Note that if you use the Kies software on your PC to backup/restore MMS, that works correctly. YMMV.
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