We could terraform Mars if we maintain it. It's true that the atmosphere would leak away, but if we can get it to a decent level, it would be hundreds of years before it becomes a problem again. When we have the technology to terraform a planet, it probably won't be difficult to build machines to maintain an atmosphere. It could also be possible to spark local volcanism even in a dead planet, which could throw a lot of CO2 into the air to keep the climate more stable. There's also the potential for domes to hold a local atmosphere, but whether that's considered "terraforming" is another matter, even if it's self-sustaining.
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It's also true that Venus is most likely a better candidate for terraforming. Just blow away most of the atmosphere, or as Ziggy suggested, we could alter the planet's orbit. All ethical factors aside, we could steal... say... Europa, and crash it into Venus.

That'll blow most of the atmosphere away, and will bring a lot of water which is severely lacking on Venus (even in vapor form). You could also pull Venus away from the sun into what would be its habitable zone. One problem with these methods is that a life-destroying object would need to cross the Earth's orbit. That's somewhat risky. Another problem is that we aren't capable of altering the orbit of even a big asteroid right now. It'll be a long time before we can do anything to the orbit of a moon or planet.
A more realistic option is just to nuke Venus into oblivion. If you blow away most of the atmosphere, and if you pull the toxic stuff out, all you need to add is oxygen and water and Venus will probably be a fun place to live.

Well, at least as fun as it can be without a significant magnetic field. I'm not sure what can be done about that.