This worked for me on my Droid Incredible:
First (to set default/email sound):
1. Go to Settings>click Sound & display.
2. Scroll down>click Notification Sound>select which sound you want>click OK.
3. Closeout of settings.
Second (to set sms and vmail sounds):
1. Go to Messages>click the Menu Soft Key>click Settings.
2. Scroll down to headings of "Received Messages", "Sent Messages", Vmail Notification".
3. To customize each sound heading, scroll down to each header.
4. Click Notification Sound>select which sound you want>click OK.
5. Closeout of message settings.
Third (to set up calendar sound):
1. Go to Calendar>Menu Soft Key>click More.
2. Click Settings>click Reminder Settings.
3. Click Ringtone>select which sound you want>click OK.
4. Closeout of calendar settings.
There may be other ways to do, but this worked for me