You've got to put them in your ring tones folder-if they're in the right format you should be able to double click on them and they automatically go into your itunes. If they don't go to where your itunes is stored, on your computer open the itunes folder and drop them in the ring tones folder. Then when your phone is plugged in go to the ring tones tab in itunes and check mark those tones and sync.
BTW-you can make your own ring tones with songs you already own. Meaning it won't let you use ones you've bought from itunes but it will let you use ones that you have ripped to do it. It's super easy. Have to wait for DH or DD to get home to give you full directions as I always have to ask them for a refresher every time I make one, lol!
ETA:Oh wait so you need to MAKE them ring tones? I think I misunderstood, thought you couldn't get bought ring tones on there. You'll have to use the one you recorded, I don't think it'll let let you use the one you bought. Here's a tutorial. Seems complicated but it's not.
http://www.webdevelopersnotes.com/blog/make-iphone-ringtones-from-songs/