I guess you could go with Modest for a wallbreaking set, since Mr. Mime hits many defensive Pokemon in the lower tiers for major damage with its STABs, with all those bulky Fighting and Poison types around.
However, 90 Base speed is a very important bench mark in NU, so a Timid set would definitely allow you to deal with common offensive threats better. It's not the set's primary job, but can still be pretty vital depending on the team match-up.
If you want to go for a perfect Mr. Mime, you should definitely try breeding a Timid one, but in any case keep the Modest one for now.^^