I got you.
The way I just did it was I went into zedge. Downloaded a ringtone, went to alarm>settings>set ringtone>use zedge ringtone.
I then set it for a minute later to test, and it worked perfectly.
I assume you can do the same thing with physical audio files on your device like I've done with my phone. Just go to the song/file and set it as a ringtone. The go back to alarm settings and chose the song from the list!
Hope this solves ur problem.