You can not add Custom Tones for 'Messages' .. Even with WP8 you have the provision to add Custom Tones ONLY for 'Calls' and 'Arams' but not to any 'Messages' ..
Any on know of an update to this for Lumina 800, or any plans for Nokia to change this. OR add "old" Nokia sounds, eg morse SMS tone
Not yet AFAIK ..