@cybernalle
The easiest way is via the USB cable. Connect the phone as a 'Disk Drive' and the SD card will show as a removable disk drive on your computer. Transfer files like you would any other file using Windows Explorer or similar.
There are 4 default directories for sound files on your phone's SD card - Alarms, Music, Notifications and Ringtones. (If they're not already there, then you can create them). Simply copy/paste your ringtones to the respective directory, e.g. Removable Disk:\Ringtones for your ringtones, Removable Disk:\Notifications for your SMS sounds, etc.