Note: Make sure you are using the default messaging application that comes with the phone.
If that does not work try forwarding the message to your number, then saving the sound file from the forwarded message. Press and hold on the message, then choose the option to forward the message and enter your mobile number.
If the file still does not save, make sure the file is not already saved on the SD card.
From the home screen, touch the applications tab (located in the lower left).
Touch Messages.
Touch the appropriate message.
Touch and hold the area outside the message / attachment.
Touch Save audio.
Touch Home.
Touch the applications tab (located in the lower-left).
Touch Music.
Touch the Library key (located in the lower-left).
Navigate to the saved location, e.g. Unknown artist > Unknown album.
Touch the tone.
Touch Menu.
Touch Set as ringtone.
Select an option.
Phone ringtone.
Contact ringtone.
Phone ringtone.
To set the tone as the default phone ringtone, touch Phone ringtone.
Contact ringtone.
To set the tone to a contact, touch Contact ringtone.
Touch a contact(s) then touch Save.