Depends on your phone brand/model etc. Usually you can either send it via the web (newer phones, direct links work...others you need to package it, some free sites do this (eg sprintusers.com)), but then you pay the net fees if you don't have unlimited.
If you're going to do many *and* you don't have the unlimited net, I'd highly recommend getting the USB cable for your phone...
As far as converting...well, your phone model/brand etc...newer ones play mp3's just fine, while older ones like my own just play midi tones...which there is no easy way to get a nice sounding ring tone from a song (conversion-wise), that I've found anyway. It seems to take a bit of actual editing, which gets tedious for a novice like myself, fast.