How to set my purchased ringtone as my ringtone? IPhone 4S

Ok so I bought some ringtones and I wanted to set them as my ringtones for text messages and stuff but when I go to Settings > Sounds, and lets say I select Ringtone, it shows the list of different ringtones that allready come with the iPhone but it doesn't show what I purchased. Where are they? What do I do?

Sync the new ringtones you bought with your iPhone on iTunes.

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