The key to changing the tone for SMS/text messages is it is under settings in the message area. The notifications tone is for mail on the main screen and it is only available on the overview screen, NOT on the menu screen of an individual message.
So press your messages button get to the screen with the NAMES of all the people who sent you messages. Press menu and there should be settings there. Then you can change the ringtone there or follow instructions above to make some new ones.
Remember must be the overview page, the settings won't show on an individual message.