It's possible the stock Android ringtone picker isn't seeing the tone.
I'd suggest the 3rd party (and thus unsupported by T-Mobile) application Rings Extended.
Once installed, go to Settings-Sounds-Ringtone and choose Rings Extended and browse around there and perhaps you'll see the song.
You could also try opening your browser (web) and press Menu - Downloads... I don't know if it'll show up there either...but these things could be worth trying.
You also may have just previewed it... did the charge show up on your charges on T-mobile.com ? You could always try to re-download it, careful not to pay for it twice, and look for a Save option (maybe press+hold or long press on the item to save)
You can play it in music and while it's playing (or paused) hit menu and you should see an option to set it as a ringtone. But I would suggest, instead of buying ringtones, put your own mp3 on the phone and use an app like RingDroid to clip out a section and assign as a ringtone or notification tone.