It sounds like you are doing everything right azebrook. Are these ringtones you have on your memory card or on the phone memory? If you have your device plugged in to a computer and "USB Storage" is turned on, the device will not be able to play these ringtones when your friends call. Another thing that can cause this is a bad SD card, your device may be able to read that the song is on there but unable to play it. You may want to back up the data on your card and reformat it.
Hope this helps
Been having the same problem and Carlos at T-Mobile just fixed it for me. You have to be sure that the phone number in your contact info matches exactly how the incoming reads. What I mean is, if you have your contact's phone number saved as 000-000-0000 and the call comes in as 1-000-000-0000, it won't recognize it and won't ring with the custom ringtone. We added a "1-" to the numbers and it worked! Good luck!