When I've received ringtones in a text message I open the text and the ringtone is listed under the message and it's underlined. Lay your finger on the underlined name of the ringtone and leave it there for a 3-4 seconds and another message will appear in a white box - save as ringtone. Touch that message and it brings up a black screen with the ringtone name at the top under Save Ringtone. At the bottom there is a checkmark and an X. Touch the checkmark and it's saved.
When touching the test message if the white box opens and says - delete, forward and copy - you aren't touching the underlined ring tone in the text. Try again.