There are alreay a bunch of threads dicussing this on different phones but the process is pretty much the same. You just need to drop the files in one of a few different places on your phone. Check out this thread on how to set an Mp3 as a ring tone for a detailed description.
First go to the music folder. Then simply open the music/song which you wish to set as your ringtone. Press the menu button and there should be a set as ringtone option. Select that.