I ran into this problem yesterday and finally gave up and moved the file by connecting the 2 phones to my laptop.
I had a mp3 that my friend wanted to use as a ringtone. I figured I could just use Handcent (I also tried the default messenger) and attach the file and send it that way as a MMS. Low and behold..... Not an option. You can attach an audio file but it is predetermined from your listing of ringtones. I tried the FTP app that was in the marketplace and got no love either. Has anyone had any experience with this and how did you solve it? I also tried using Astro but, you get different options with different file types and with .mp3 you get bluetooth or email. I thought it would have been easier than that. I have been able to do this in the past with a MS phone through MMS.