Transfer private MP3 files from my PC to my iPhone SE 2020 tl;dr: I want to add my own .mp3 files (and audiobook etc.) to my iPhone SE 2020. After selecting File &gt; Add to Library and selecting file in iTunes for PC, files are added, but nothing happens next -- i.e. iTunes for iPhone shows empty lists and nothing is synced to it. What am I missing?

Problem
I don't have a Mac and I am a Windows 10 user. I want to play on my iPhone 2020 a private (privately owned) MP3 file or files:

an audiobook not purchased in iTunes,
a MP3 copy of some audio CD / DVD that I use in my courses etc.

What must I do to achieve this. Exactly what steps should I undertake in order to transfer my private MP3 file to my iPhone 2020? To be able to see and play that file there?
iTunes
I added files the iTunes way and that was successful:

Installed iTunes app to my Windows 10 (newest official version)
Opened it up and login with my AppleID (the same as used in my iPhone)
Press Ctrl+O and navigate to a single .mp3 file

I also added remaining folders by selecting File &gt; Add Folder to Library.
Playlists
I have added four private (not purchased in iTunes) audiobooks:

used File &gt; Add Folder to Library four times,
created four separate playlists, added them to one playlists folder,
added each audiobook to a corresponding playlist,
waited some long time.

And nothing happened on iPhone side. I still see empty lists and no sign of my audiobooks.
Question
What should happen next? Are all my steps correct and in above described scenario files should appear in my iPhone automatically? Or am I missing some crucial step?
Does the fact that my File &gt; Devices &gt; Sync menu item is disabled plays any role here?
If you wish to copy MP3 files from a PC to an iPhone via iTunes then it is very important to connect both devices physically at least once. Only then sync via iTunes will be available and possible.
Some additional possibilities:

using designated software:

Dr. Fone - Phone Manager (iOS)
EaseUS MobiMover.


using any cloud storage solution like Dropbox or Google Drive, by installing it on both iPhone and PC and using the same account in both devices.

Here are two example videos (out of thousands  out there probably) that describes some of these methods above in some more details:

How to save an MP3 to your iPhone
How to Transfer MP3 to iPhone

It is also possible to transfer files via wireless network using AirDrop, however this method seems to be possible only from Mac, not from PC, which is not, what OP is asking for.
You may be able to just use SnapDrop instead of AirDrop. This does not require installation and works similarly to AirDrop. It has the advantage that it is compatible with all devices that support WLAN and Bluetooth.
https://snapdrop.net/