Messages in Mass Transit are nothing more than POCO classes. Messages should be immutable but some serializers may not support this design and will instead have to be enforced through coding standards. I am working on a NDepend CQL Query that will help to ensure this happens (NDepend has a feature called Immutability).

[Serializable]
public class YourMessage
{
    public string Name { get; set; }
    public int Age { get; set; }
}

Articles to Read

DDDD 4: Messages are value objects - Greg Young

Immutable Types - Patrick Smacchia