T-Mobile should have pushed the myFaves to your phone. You should see an icon that has five bubbles in a circle. If you are unable to find the myFaves logo, you may not be able to use the feature on an AT&T BlackBerry (as myFaves requires a myFaves compatible handset, and many older T-Mobile phones aren't compatible either).
Still, at this point, I would try going online to http://my.t-mobile.com and sign up to be able to change your myFaves online. Maybe you can't manage myFaves through the phone, but maybe the feature will still work if you change the numbers online. It's difficult to say with an AT&T handset.
Basically, once you plug those numbers in online, try usinig it for awhile by calling a few people on your myFaves and checking your minutes constantly, and if your anytime minutes are being used by any of those numbers in your myFaves, I'd say it's a safe bet that the feature isn't compatible with your device.
I hope it helps!