If you want custom tones, add the sound files to your /sdcard/Notifications folder (as opposed to /sdcard/Ringtones, where user ringtones are stored). Confusingly "/sdcard" is not your sd card but your internal storage (there are several other ways of addressing that same storage volume).
Most third-party message apps allow you to use custom tones. I thought that the built-in Samsung one does too, but as I don't have a Samsung phone I can't confirm.