Sound Problem/Question on 3GS

I have made ringtones with my Macbook that work perfect, but is there any way to changed the default sounds for Alerts, Text Messages etc. I am wondering if there is any way to create custom sounds, like using a Submarine Dive sound for a Txt Msg? I have not found out a way to do this, but I figured I would give it a shot here in case someone knows? Do I have to Jailbreak and Unlock my phone to do this???