If you downloaded them with a browser, then they should be in the downloads directory. The only two thoughts that I have is that something is detecting a file with a particular extension and is "processing" it somehow resulting in the original file being deleted. I assume that you cannot see the new ringtone in the list of available ones, right? The other thought is that the file type is system reserved and therefore hidden from you. You could try to use another file manager to see if it can see the missing files.
Regards,
Eric.