For those who don't want to download apps:
Go to: Applications > My Files
The Folder structure on the top should be [/mnt/sdcard]
Look for a folder called "Media" (without the quotes).
If you don't have that folder, create it (Menu key > Create Folder > type in "Media" without the quotes).
In the [Media] folder, select Audio (or create this folder if not present).
In the [Audio] folder, copy your tones/sounds to the appropriate folder:
Alarms
Ringtones
UI
Notifications
If you don't have the folders above, create it in the Audio folder (Menu key > Create Folder)
Folder structure:
/mnt/sdcard/Media/Audio/[Alarms][Ringtones][UI][Notifications]
After creating each folder, your SGS will re-scan for media files (you'll see this message in the notification bar at the top of your phone).
Hope this helps.