How to put Zedge ringtones onto my iphone?

I downloaded this app called Zedge and it has ringtones and wallpapers. I watched the video that it had about how to put the ringtones onto an iphone and I did everything on the video but when I went to sync my phone, it didn't sync the ringtones with it. I looked around and found that sync tones was not checked as the things that synced so I tried to check it but then a message popped up saying something like, are you sure you want to remove all your music, tones, photos? I don't know where to go from here because I don't want to lose all my stuff but it seems like there should be an easier way then this. Please help me thank you.

1. Visit Zedge.net to decide whether you want to download their free ringtones, or whether you want known artists' music as your ringtones. If you choose the latter, you must sign up; first, by entering your cell phone number.
2. Check your cell phone for a text message from "Thumbplay," which contains a temporary password. Entering this password on the Zedge website confirms your willingess to pay the monthly fee.
3. Enter your password on Zedge.net.
4. Search for an artist or song and simply click "Download."
5. For featured free ringtones, simply click the play button to listen. Click the "Get Ringtone" icon.
6. Choose whether you want the ringtone sent to your cell phone, or whether you want to download it directly to your computer and click the appropriate button.