I would be very VERY dissapointed if a phone with Walkman and 3G capabilities wouldn't let you select your own ringtone my friend!
Once you have an MP3 track on your phone, locate it using the 'File Manager' menu option, once you have highlighted the song you want you should be able to select 'More' then 'Use as' and finally 'Ringtone'
(Options and Menu Names based on Sony W800i phone, subject to change)