Yea i dont get the option either, im on ios 5 beta 5.........
under Settings -> General -> sounds -> Text Tone, then scroll down past buy new tones, none, the alert tones section which starts with Alert, there's then a section that says ringtones, starting with your custom ringtones you have copied to the device (check in itunes that you have copied the tones to the device, make sure on ringtones section in itunes that all the ringtones are not greyed out as this means they have not copied, so you need to remove and then re-add them), then below that is the stock ringtones section starting with Marimba.
Also, when you updated to iOS 5, did you do it OTA? if so, then did you erase contents and settings before doing the OTA update?
here's how it looks on mine