I'm having the same problem getting the ringtones downloaded into ITunes, checked to be sync'd, applied, sync'd to Iphone, sync completed...... No new ringtones to be seen in settings>sounds>ringtones.
Last week, my friend recommended me to use
iPhone Ringtone Maker which is great!
It can create my own M4R iPhone ringtones from my movies and songs, not only a ringtone maker, this program is but also an ringtone uploader to transfer the converted ringtone to iPhone directly without iTunes after conversion if you want.
It is really good.