I'm probably missing something, as this looks just too easy ... but have you considered modulus?

Your code with minimal changes:

my $tm = localtime;
my $this_month   = sprintf("%04d%02d?",
                           $tm->year+1900,
                           $tm->mon()+1,
                           );
my $last_month   = sprintf("%04d%02d?",
                           $tm->year+1900-($tm->mon()<1 ? 1 : 0),
                           ($tm->mon()-1)%12+1,
                          );
my $last_month_1 = sprintf("%04d%02d?",
                           $tm->year+1900-($tm->mon()<2 ? 1 : 0),
                           ($tm->mon()-2)%12+1,
                          );
my $last_month_2 = sprintf("%04d%02d?",
                           $tm->year+1900-($tm->mon()<3 ? 1 : 0),
                           ($tm->mon()-3)%12+1,
                          );
[download]

Edit: Bah, yeah, that was too easy. Forgot the year. Fixed now.