There's no way to save an .mp3 (or .wma, or other music file) attachment to the phone's library directly- it's only available in the email app or browser app depending on how you downloaded the ringtone. The system just wasn't designed for that, as all of the apps are essentially "sandboxed", so we need to employ some cloud trickery. Two options spring to mind, both using the same trick. We need to forward the email with the music attachment directly to a cloud service so we can access it there.
SugarSync, a popular cloud service has an email attachment-to-upload service built in., When you sign up for a SugarSync account you are issued an email address to send files to as an attachment. Forward the mp3 attached email to that address, and it'll be in a SugarSync folder.
Great, now your mp3 is in SugarSync. Now what?
Now we need to download it to the device, which will depend on what apps you want to use. A lot of the music download apps seem to choke on authenticated sites (like Dropbox, or Sugarsync). If you know of any music downloading app that connects to Dropbox or Sugarsync, you could certainly use that, but I don't of any. I would suggest a great general purpose file app called File Manager (http://www.windowsphone.com/en-us/store/app/file-manager/42380d5b-b735-4913-80f6-c78b85c18dc2). The free version will connect to one cloud account (Sugarsync, Dropbox, Skydrive, Google Drive, etc.) of your choice, and let you copy files from that cloud account directly to the device SD card (if it has one), photo storage, or music folder. You can add your Sugar account to the free version and copy the mp3 to your phone's music folder, which adds it to the device's media library automatically.
Good luck!
(Amended from here: http://answers.microsoft.com/en-us/winphone/forum/wp8-wpmusic/i-cant-find-my-downloaded-files-in-my-...
