Brad's plugin will do what you need, but (AFAIK) it will only add one calendar in either direction - that is, you can have this month's and next month's, or this month's and last month's, but no more.
Another method is to replace the MTCalendar tags with MTArchiveList, and use lastn to get the number of calendars you want. However, this will start from the farthest date in the future and go backwards, so there's no real way to ensure that this month will show up unless you keep track of how many months in advance you've posted.
More details here....-Steph