I do like TouchXplorer but I haven't tried to overwrite alert sounds with it. I was able to replace one of the alert sounds with the TouchXPerience Device Manager. It took a couple tries to work (I kept getting the message that it couldn't connect to my phone) but eventually I was able to delete one of the alert sounds and replace it with my own. I did have to delete the original first and then copy over the new one, so maybe you have to do the same with TouchXplorer. I backed up the originals of course.
Another way that I've heard about (but haven't tried) is to edit the path of the alert sounds in the registry.
HKEY_CURRENT_USER\ControlPanel\Sounds seems to be where it stores your current sound selections. So if you want to change your SMS alert sound, go to HKEY_CURRENT_USER\ControlPanel\Sounds\SMS and change the Sound value data to the path of the sound you want to use. After a soft reset it should work. This way you wouldn't have to overwrite one of the included sounds.
Again, I didn't test the registry method so be careful with that one. Who knows what might happen if you put an invalid path or whatever. Also, my guess is that it will probably revert to default if you to into Settings->sounds but I'm not sure about that. I think TouchXPerience is probably the safest way to do it.
Edit: here's the XDA post I found for the registry method:
http://forum.xda-developers.com/showthread.php?t=907971&page=41