Pictures can be emailed to yourself as attachments and saved that way, as well as downloaded off of websites. As far as ringtones, songs, etc, yes you have to dowload them using the browser.
Currently the BB Pearl is the only device which can transfer media files directly to/from the computer. When 4.2 becomes available for the 8700 this feature will be added to the 8700. Keep in mind that the 8700 does not have a media card slot so you are limited in memory anyway.
For more information on getting pictures, songs and ringtones to your 8700 please visit this section of the forums: http://www.blackberryforums.com/ring...er-discussion/