Firstly, how long are the custom ones going to be?
I ask this because I went through the trouble of learning how its done, nearly needing to restore my phone (still might) only to find that my 30 sec music clip does not stop when you press a button/unlock the phone/read message.
It keeps playing as long as it finishes.
Unless someone knows how to fix this I am using the stock ones.
The directory is /System/Library/Audio/UISounds
Here's a Tutorial on how its done.
Custom SMS Sounds - ModMyiFone - Wiki