Hm, that's odd. I've had WinterBoard installed all day and it didn't create a themes folder there. Also, I have a few other themes installed directly from Cydia (which are not showing up anywhere in CyberDuck via SSH).
It sounds like I'm connecting to the wrong folder via Cyberduck.
To connect, I just typed in the local IP of my iPhone into Cyberduck and gave it the root/alpine credentials.
The Library and Media folders I referred to are in /private/var/root
Should i be looking somewhere else for this Themes folder that, presumably, should also have the 3 other themes I installed to my iPhone directly from Cydia?
Edit: Nevermind I got it. Cyberduck was being silly and not letting me browse to the root folder. The button was greyed out, so I thought that the Library and Media folders were the only ones available for viewing/editing via SSH. I had to quit and relaunch Cyberduck. Thanks for your help.
Too bad the Matte UI theme doesn't work on my 3GS (lots of other users are reporting this issue also.)