Have you set up your iPhone for MMS? You have to set these up manually.
For iOS 5 Goto Settings> General> Network>
For iOS 6 Goto Settings> General> Mobile Data>
Now enter these settings
MMS proxy: 188.8.131.52:8080
MMS Max Message Size: 2097152
MMS UA Prof URL: [leave blank]
DON'T PRESS RESET just go back up the menu
Then pop it into airplane mode then off again and all should now be working.
just type this into your safari browser while connected wirelessly on to the internet:
The above will install the giffgaff profile onto your phone
save, then restart to make sure it all works and thats it all ready