When you connect your Bionic to your computer using Windows, you should get a notification on the phone that you're connected. Slide the notification bar down so that you can click on 'USB connection'. Choose 'USB mass storage' and click ok. You should then see at least two removable drives on your computer under My Computer (you may see three, depending on drivers installed):
MOT - phone files
removable disk - external SD card
If you want your ringtones on your external SD card, nagivate to 'removable disk', open it, and add whatever folders you want. I use 'music' for my music files and 'ringtones' for my ringtones to keep things simple. Add whatever files you want to the appropriate folder. Once you're done adding files, be sure to safely eject the hardware/media before unhooking your USB cable.
I haven't tried to record anything with the phone itself. A Google search indicates that an app is probably required. I would assume that once you have the audio file on your phone, that it's a matter of assigning it to contacts just like assigning regular ringtones, i.e., navigate to the file, open it, press menu, press 'use as ringtone', then assign to contact(s).