EDarkness...
I came onto this post becase I myself have just purchased a 3g iPhone today. This system did work for me (as Still24 posted). It could be that you haven't told iTunes to sync your ringtones to your device. While in iTunes with your iPhone plugged in, do the following:
Click your iPhone under the devices tree on the left side of the iTunes menu
Click the tab at the top of the iPhone menu that reads "Ringtones"
Put a checkmark in the option "Sync Ringtones"
and then choose which ones you want to transfer or all of them at once.
I have just done this today on my 3g iPhone with iTunes 7.7.0.43 with no errors. After this your phone syncs, go to your "Settings" menu on the iPhone, choose "Sounds", and then finally "Ringtones". It should now be listed as a "Custom Ringtone".
Hope I could be of some help...