As using the lumia 800 first even I was looking for the same but after going through windows phone site, I found out that there are no such options avaible to set the song as the ringtones.
Here are some of the reasons only when you can set the song as the ringtone.
1. It only accepts MP3 or WMA formats for setting song as the ringtone.
2. Song should be played less than 40 sec
3. File should not be more then 1 MB
4. Song should not have digital rights management protected
If you have certain things than you can easily set song as the ringtone.