Connecting via USB is the easiest way to get files onto your device (unless you have an SD card reader), and you can just drag and drop into a music file on your phone. If you want to go the card reader route, unmount the card (menu>settings>storage>unmount SD card), insert it into the reader, and drag and drop. Other wise, you would have to email the file to yourself, save it, and use a file explorer app to move it to the appropriate place.
There are some WiFi solutions, but I have no experience with those.
