First off, You should make your own ringtones, I don't even think the Hero will play .dm files.
Second, it WILL play mp3 files as your ringtones.
Use Goldwave or some other music editing program to make the tones, save them as mp3's.
Plug your phone into the computer, change the connection type to disc drive.
EVERYTHING IS CASE SENSITIVE FROM THIS POINT ON!!!!!!!
It'll probably be "Removable Disc F:\" or something like that, In that folder you need to create a folder called "media" and inside the media folder create 3 folders: ringtones alarms and notifications
Then move/save your ringtones that you made into whichever one you want them for, notifications are your voicemails, sms, e-mails, etc. and the other 2 just speak for themself.
If you need anything else, let me or someone else here know, Welcome to the forums!