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I have the same question. I switched from Samsung Galaxy S4 to iPhone 6 Plus. On my old phone if I made a ringtone in an app it was saved with my music files and easy to find. I must be missing something because I can't do that on my new iPhone. Hope someone can help us both!
AFAIK, ringtones have to be synced through iTunes unless you buy them directly from Apple's iTunes store on your device.