Hook up to your pc, and enable mass storage. Make /media/audio/ringtones in the root of the sd card. Place your ringtones there.
/media/audio/notifications is where custom notifications go
/media/audio/alarms is for custom alarm tones.
When done, you may have to reboot your phone to see them.
The notification you set in settings is the standard default, and is used when an application doesn't have a notification defined. Look in the settings for each application to change it's notification.