I believe that MMS messages are sent and received using mobile data, but I do not know if that bandwidth counts against your bandwidth messages. If you are using the mobile data widget to turn off data, or the setting in settings->wireless & networks, you shouldn't be consuming data with your phone. Perhaps I am wrong, but I know that when I disable WiFi and turn off mobile networking and try to use an app that consumes data, including the browser or gmail, it will give me an error message that it cannot access data at that time.
The My Verizon app and widget is useful, but remember that, like many apps, it also requires data itself to communicate your data usage, and I am not sure if Verizon and Android is sophisticated enough to give you that data for free. There is nothing in the app description in the market that suggests that it is free from data limits. Also, it's data count is not real-time, but I think shows as of midnight this morning.
I haven't used 3G watchdog myself, but I think you're smart to at least try it out.