Yes...there is a way. You need to download a FREE app called, SaveMMS. Like I said, it is free under the market place. Just do a search under the market place and download it...did I mention it is FREE! This app lets you save any attachment sent via mms.
Once you have downloaded the app, you need to run it, then it will automatically retrieve any attachments and display them for you to browse. You can save PICTURES and MUSIC this way. Once you click on the mp3 file, it allows you to save it.
Once saved, go under music, then select songs. Your file should now be there. If you click your song to play it, you can press the menu button (the one with the 4 horizontal lines) and it gives you an option to set as your ringtone. You must set as your ringtone at least once, then it will always be available as a phone ringtone under settings/sound & display/ Phone ringtone.