Attach File to Message

I am attempting to attach a file to message that has been added via web services.

1.  I have tried to attach the file directly to the message, but message is not an allowable document type. I can attach the message to the company and the file to the company, but not the file to the message.

2. I have tried to attach the files with MessageMediaItemList, but I recieve an error.
Code
Message msg = new Message();
.
.
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string test1 = "Test Message";
MessageMediaItemList obj = new MessageMediaItemList();
List<File> files = new List<File>();
File myFile = new File();
          
           
System.Text.ASCIIEncoding  encoding=new System.Text.ASCIIEncoding();