Here’s what the OWL at Purdue has to say about citing speeches with MLA formatting:
Provide the speaker’s name. Then, give the title of the speech (if any) in quotation marks. Follow with the name of the meeting and organization, the location of the occasion, and the date. Use the descriptor that appropriately expresses the type of presentation (e.g., Address, Lecture, Reading, Keynote Speech, Guest Lecture, Conference Presentation). Remember to use the abbreviation n.p. if the publisher is not known; use n.d. if the date is not known.
So, for example, the David Foster Wallace speech would look like this: