I don't think you need to do the Step 3 (Replaced the file hsqldb-persistence-service.xml with mysqldb-persistence-service.xml in the messaging folder under deploy in JBoss.) to migrate to MySQL database.
Also in the Step4, you already have the <user-name> and <password>. So I am not sure why you are adding <security-domain> into it (for additional security?). Either way if you remove the <security-domain> it should work fine.