The caf files go into System/Library/Audio/UISounds/
You will see six .caf files in there called sms-received1.caf thru sms-received6.caf. You need to replace these .caf files with your own .caf files. In order for you to get your .mp3 to a .caf file, you will need to do a little conversion.
Renaming alone will not do it with an MP3. conversion is necessary.
CAF is a renamed AIFF file (*.aif). AIFF is an uncompressed file (like a .WAV file).
iTunes can convert any file imported into an AIFF if you go into preferences/general/importing and select the AIFF encoder. Then just rename the file to the proper *.caf file you want to replace and SSH it to the phone.