I created it as a stored procedure in SSMS so I could use it for multiple reports and then just add it as a dataset in SSRS.
First Day of Previous Month:
SELECT DATEADD(MONTH, DATEDIFF(MONTH, 0, GETDATE()) - 1, 0)
Last day of Previous Month (Time set to 11:59:59pm)
SELECT DATEADD(s,-1,DATEADD(mm, DATEDIFF(m,0,GETDATE()),0))
I don't remember what i did after that to get it working, but I think it's pretty obvious if you use the wizard. If you have any problems with this let me know and I'll look into it further.