First of all, check they are in the m4r format (ie file extension should be m4r, not mp3 or aac). If they are m4r then iTunes should recognise them as ringtones and display them in the Ringtones pane, not in the Music pane. If they are not m4r (or you want to use an mp3 as a ringtone) then they may need to be converted.
If you're on a Mac then there is Apple software available for this for free:
http://www.apple.com/...oneringtonemaker.html
If you're on a PC try searching google for iphone ringtone convertors or try this one:
http://www.ringtonesi...r/iphone-3g/download/
Ringtones can only be a maximum of 30 seconds long or they won't transfer to the iPhone (unless it is jailbroken).
If you use your iPhone to purchase ringtones (not your computer) they should download directly to your phone.
Also have a look at this (it may be useful):
https://www.youtube.com/watch?v=IDCAhYEultg