Not a problem.
We don't want to buy new phones, so if I am understanding correctly our AT&T iPhones should be able to transfer to P'tel and we would be able to utilize MMS. Is this correct?
*wobbles hand back and forth* yes...ish. There's technical considerations such as lesser overall network coverage, less indoor reception due to the primary service frequency, possibly slower mobile data throughput, etc. If T-Mobile is a good carrier in your area, you should be reasonably fine, but don't expect the iPhone 4s to behave the exact same way on T-Mobile's network as it does on AT&T's. That said, you should be able to set both the APN and MMS settings for P'tel (and any other T-Mobile based MVNO) under any version of iOS without any problems. iOS9 settings for P'tel
here.
Normally I prefer to recommend people to use MVNOs on the same major carrier they left so as to minimize any possible disappointment and keep the coverage consistent with what they're already used to, but sometimes there can be a good reason to switch. This would be one of them.
Do we need to have our phones unlocked before switching?
You only need to carrier unlock a GSM phone once. Once it's done, it can be taken anywhere. If you left AT&T and are already on H2O Wireless, you probably already had the phone unlocked. If not, that could be part of the problem as well, as AT&T MVNO SIM cards will work for basic phone calls and SMS messaging on AT&T locked phones, but data APNs cannot be reprogrammed... still though, MMS on iPhone just isn't going to be doable on H2O Wireless or Airvoice without some serious technical hoop jumping. If the phones hadn't been unlocked before you left AT&T, it'll be easier just paying for an unlock code through a reputable phone unlocker on Ebay than trying to get AT&T to do it after you already left them.
As for potentially porting your phone number out of H2O Wireless, the two most important bits of info to do that is your account number and your PIN. If I recall correctly, I believe H2O Wireless uses your H2O Wireless SIM card number (
ICCID) for your account number, and the last four digits of that ICCID for your PIN/account password.