I was but I've now moved to GearHost after having had a LOT of issues with BlogCFC on HostMySite. Their support which is considered top notch (and had been for every other issue I've had there) was completely unhelpful with this issue.
The thing is, you'll have to ask them to install the JDBC connector for the MySQL server and create a special DSN for it for you as you won't be able to from the control panel. Then, they'll have to increase time out settings on the connections.
You would think that the HMS support staff would know how to deal with this issue by now since it had been going on for months on my own blog before I decided I'd had enough and moved all my sites to GearHost. They even had the gall to put the responsibility entirelly on me and never made any real effort to look into the issue deeper to solve it. I'm more of a designer/front-end guy so the finer points of tuning CF to MySQL connections is a bit beyond my expertise but it should be their responsibility to figure out. The last email I sent them detailing the reasons I was leaving was VERY clear about the reasons why. I can't believe they are not more proactive in your case too, especially since they all went through it with me for a long time.
The GearHost support staff went above and beyond for me on these issues and went as far as reading the actual BlogCFC docs themselves to find out if it had any special requirements. They usually respond to support tickets within minutes (not hours) and will do all they can to actually cooperate with you and solve the problem.
Btw, my site is at www.pixelyzed.com (click the pixellog link for the blog).