Yes custom tones are easy, create the following folder structures on your SD card:
media/audio/ringtones
media/audio/notifications
media/audio/alarms
And fill them with MP3's.
To disable data, look in Settings => Wireless & networks => Mobile networks for a 'Data enabled' tickbox, untick it and no more 3G data.
To enter your SD card, use a file manager (such as ASTRO) from the Market and look for a folder called _ExternalSD
As for your final question, I'm not sure what you mean, add what from the Market exactly?