You must download them to your device, whether via your PC or OTA. OTA is preferable as it goes straight to your device without a further step involved.
Once loaded on your BB, go to Options -> Themes and click on your selection.
Themes are essentially special Apps. You could download as many as you have memory for.
It's often a good idea to reboot your device after you change the active Theme.
Posted from my CrackBerry at wapforums.crackberry.com