You need to put them on the sd card in Media/Audio/Notifications, or Media/Audio/Ringtones. So you create a folder called Media on the sd card, then inside that create one called audio, then inside that, create one called ringtones and another called notifications. You should be able to do this with the My Files, if not you can get Astro from the market, or connect the phone to a computer via usb and do it from windows.
