in my experience, android is a little weird in this department.
i made a folder on my sd card called "notifications" and anything i placed in it appeared when i went to settings>sounds & display>notification ringtones.
but for some reason, when i selected a custom one for texts, it didnt work. ill spare you the details, but i went pretty in depth trying to fix the problem and finally found the solution. just bare with me, ill get to your question soon enough.
to fix the problem i was having, i went into messaging>options>settings and in the notification settings, i was able to pick the one i wanted and it works!
so the answer to your questions is yes...the settings>sounds & display>notification ringtones will set the sound for your VM.
to change the sounds for your email, just go to your gmail/email inbox options>settings>notification settings (you can have a different sound for "gmail", and one for "email", not sure if you can set up different ones for seperate accounts in "email" ie; aol, yahoo, hotmail).
good luck.
cheers
mike