Zedge will not assign the tones to your contacts, it will only let you download them to your device. From there you can go to your desired Contact, hit the EDIT button and look for the Ringtone/Message Tone option to change it for that particular contact. If those fields aren't there, then select ADD FIELD and select the appropriate customization label you want to change. That should let you pick from the ringtones installed in your phone, including those downloaded by Zedge.