I've been working with MSMQ for some time now. I have only really run into a couple issues, which may not even affect you.
If you are trying to send messages over 4mb, you might want to look into other options, as of right now, that's the limit.
If you are trying to set up MSMQ over HTTPS (IIS hosted), it's EXTREMELY FIDGETY. It's also really hard to tell what's going wrong, as you don't get any useful error messages (if you get any at all)
I've used this site quite a bit for problems: http://blogs.msdn.com/b/johnbreakwell/
Oh, you also don't need to worry about formatting anything.