Nokia lumia set any song as ringtone with out connecting to pc!!!!
100% working ,and very easy..i know you can't set songs as ringtone directly from your nokia lumia smart phones,so use this method it will help you,
you just want to download uc browser on your nokia lumia available at the store and it's free! . [there is no size limit of the song and no problem with format of the song].
Here is how to set custom ringtones on the Nokia Lumia Windows Phones including Lumia 520, 525, 630, 930 and more. You can add you own custom ringtones to your Windows Phone 8.1