Within every application should be their own set of settings, the phone and stock messaging will be in the phone settings/sounds every other one will be in the according application, for example gmail notifications are within the gmail app settings/notification sounds
@Stantonskipper As for ring tones check out RingDroid. It is a free app that allows you to slice up your sound files and create ringtones, alarms, sounds etc. It is really easy to use. I really like it.