In the Messaging app, click menu, settings, scroll down to bottom of menu. Click on Select ringtone. What options do you have?
I have:
Complete action using:
Android System
ES File Explorer (which I installed from Market)
I then choose ES File Explorer, and browse to the location where I saved the .mp3 file - media/audio/notifications - I realized once I used ES File Explorer, that I didn't need to place the .mp3 in that particular folder - I think you can browse to any location on the phone and it will use the ringtone.
If you only have the Android System option, download a file manager such as ES File Explorer, because when I chose the Android System option, the file I copied to the /media/audio/notifications folder was not in the ringtone list.
Hope this helps.