You can download an app called Ringdroid that lets you set your ringtones and select different ones. If you use Handcent sms app this as a little added extra allows you to choose music files as ringtones.
There is also an app called Zedge which has loads of ringtones and wallpapers.
You can also use Mediascape and when you select a track, you can press Menu and you will be given an option to set as ringtone.
Another small thing, if saving to your sd card you need to put it in the media>audio> notifications for the phone to see it.
Hope some of that helps.!
