You have to put your own tones/rings/whatever on your SD card of course. Once you do that you need to select Music instead of Android System when prompted to select a tone.
You may need to clear the default for Android System to be able to be given a choice whence to choose a tone. To do so, go to Settings>Applications>Manage applications. Once there, hit Menu and select Filter, and then choose All.
Find Android System. Then clear Launch by default. When you next go to choose a tone you will be prompted what you want to you for a tone, Music or Android System. Pick Music and navigate to your tone.
There's an app that will let you change the default easily but I can't think of it right now. I'll edit the post once I find it.
Edit: Ah ha! Here it is:
Rings Extended - Android app on AppBrain