Open iTunes and connect your mobile device to your Mac/Windows.
Click on the device on the left pane and select “Summary”. Under the “Options” section, check the box “Manually manage music and video”. Click “Apply”.
Now you can drag your music from the desktop (or any other folder) to the “Devices” section in the left pane.
That’s it. The song/video will only be added to your mobile device, and not iTunes library.