Android makes it very easy to add your own ringtones, notification sounds, and alarm sounds to your device. Simply move a sound file to the Notifications, Alarms, or Ringtones folder on your internal storage, and you're done. A new bug has popped up in Android 4.4.2, however, which could make this a bit more complicated. Currently, unless the sounds are added via a computer, they will not show up in your lists of available sounds.
The problem here is very straightforward. If you download an MP3 file directly onto your device, move it to its appropriate folder using an on-device file manager app like ES File Explorer or Root Explorer, and then attempt to select it, it will not show up in the list of available sounds.
Unfortunately, it appears that placing a sound file into one of the sound folders does not automatically trigger the event which would cause the sound files to appear in the appropriate list of system sounds.
In order to add your own sounds, you will need to use a computer. Following these steps will provide you a solution that works:
Plug your device into your computer via USB.
Move the sound file to the appropriate folder either from your computer or by cutting and pasting it from elsewhere on your device.
Unplug from USB
Once you do that, the sound will be selectable via the lists of system sounds.
Truth be told, for most people, this is neither a major bug nor a deal breaker. That said, there are lots of people who like to use their own custom sounds and this could become an annoyance very quickly, especially if you tend to download sounds directly to your device.
Update: There appears to be more to this bug and we are taking another look at it. At this point, this could be an Android OS issue, an issue with certain file manager apps, or a combination of both. We'll update again when we have some additional answers.