Nokia Lumia, no data plan?

If I were to get a Nokia Lumia 710, without a data plan, would MMS work?

Our HTC HD7 does not send/receive MMS without turning data on (haven't been able to configure it otherwise)

We have unlimited family messaging.

MMS by nature uses data.  So at the very least you need Pay per MB plan.  You shouldn't use much data to send an MMS but it does use data.  SMS does not use data but rather empty space in the 'handshake' protocol.  MMS sends a specially encoded SMS with link to download the media parts (such as Pictures, Audio, Video).  Windows Phone 7 only supports Pictures but in Tango will support Video and Audio.

While it is true that MMS uses data, you do not need a data plan, even a pay per MB plan to use MMS.  The MMS will count against your messages if you have a message plan or you will be charged on a per message basis.