In order to change your SMS tones you will need:
1) a jailbroken iPhone
2) files converted to .aif then renamed to .caf
3) Rename your files to....
sms-received1.caf = Tri-tone
sms-received2.caf = Chime
sms-received3.caf = Glass
sms-received4.caf = Horn
sms-received5.caf = Bell
sms-received6.caf = Electronic
Then place them in /System/Library/Audio/UISounds
You'll probably want to back up the original ringtones before you overwrite them.