Don't you have to download the alarm tone first and save to the alarm tone "folder"? I don't use it anymore so I'm not 100% sure
No there has always been an option to set a tone as the default for ringtone, alarms, notifications and (one more I'm forgetting). It does, it must, download it somewhere to do that but you could also just download it and then if you wanted an individual ringtone for Sally when she texted you could pick that tone. I think they all downloaded in to a Zedge folder, then. Now if you choose to set it as the default of all ringtones I'm not sure where it goes but it isn't in that Zedge Ringtone folder.
Actually this may be TMI but for anyone interested, there is a work-around I found. It worked a few weeks ago anyway, but it's long and a bit of a hassle.
Surf Zedge, find the sound you want for ringtone, alarm, whatever.
Set it as the tone for that, whatever.
It then becomes your default.
Go into settings and change your default back to what you wanted it to be. Chimes or whatever.
Now go into your messaging app or contacts or where ever you intended to use the downloaded tone.
Go through the steps of setting up the customized tone for whomever and pick the default sound picker as a selection tool.
The downloaded tone will appear in that list.
Where did it come from, where is it stored? I don't know but it should appear in that list and you'll be able to use it.
I would also imagine that it would work if you wanted, say 3 different tones all at the same time, you just got 3 new numbers for Will, Bill and Sue and you want to give each their own ringtone, I would imagine you could go in pick the first tone set as default, pick the second and set it, then pick the third and set it and do all of the changing back to the original and then setting the individual tones last. I haven't tried it that way but it seems like it should work. This was why I just downloaded them. I could grab 3, 4 or whatever then go in and set them anytime.