Settings > Internet Connections > Always Ask.

This will change the default behaviour of the phone so that it does not automatically search out a tether all the time. Instead, when you connect to the internet and want to go surfing it will ask you which connection type you want according to the local availability of GPRS, HSDPA or WLAN.

fMMS will not behave any differently, your phone will still recieve a push SMS which will automatically start up the MMS APN and tether it to the MMS provider's signal long enough to download the MMS.

I have mine configured like this because constant tethering to the nearest available connection used to fry my noodle too.

Hope this helps.