https://discussions.apple.com/message/17777381 - making a ringtone
Getting ringtones folder to show in iTunes - https://discussions.apple.com/thread/2629494 - iTunes > Preferences. Under the General tab below Show, confirm Ringtones is selected
To select a ringtone on the iPhone: Device Settings > Sounds > Ringtone
By the way, unless you are the composer and performer, it isn't "your" music. You have just bought the rights to listen to it.
Excellent, the second link did it for me. And darn it, Apple seriously need to fix that issue... there is no way anyone could be dull enough to think that is the way to get your own ringtones on a phone. A tiny update should allow iOS to see mp3, aac etc as valid ringtones . It would probably take a developer 5 minutes to change.