These instructions are for those that sync their phone by connecting to a pc rather than wirelessly.
Open itunes on your computer, plug your phone in to the computer. At the top of the window you will see iphone. Click on that. The top line will say things like content, apps, photos, etc. Look for tones, thowe are your purchased ringtones. Click on that and look at the settings. Tell it to sync the tones to your iphone. Check all the other settings to be sure you are syncing what you want. Now click on the sync button.