Append
LINK_OPTIONS="mtu xxxx"
to /etc/sysconfig/networking/devices/ifcfg-ethX
Of course, replace the xxxx with the desired MTU. Keep the quotes around mtu xxxx. Replace the ethX in the name of the interface, so it would be ifcfg-eth0 for most single ethernet card systems.
Also, the file moves a bit between distributions, so it may be in /etc/sysconfig/network or otherwise, but the naming is generally consistent.