I tried this and it didn't work.
USB works for me. Though when you plug the phone in to your computer, two different drives appear in My Computer after you select Disk Drive on the phone. Only one of those drives lets you copy files to the phone. If one doesn't work, then try the other.
You'll need to disconnect the USB cable from the computer before accessing the new song on your phone, though.
I've heard that people with Macs are having more problems copying files with USB.
Another option is to go into an Internet email on your computer and copy your music into an email draft, and save the email.
Then on the phone access the same email account and download the attachment from the email draft.