Download Winterboard from Cydia. Once WB is installed you have two main ways of getting themes, icons, lockscreens and widgets.
The first way is to download them from Cydia. If you download them, once cydia installs them, you open winterboard and apply them (winterboard work in a hierarchical format, i.e. the top themes override the bottom ones. For example if you apply a them and also want yellow font color, make sure the font color item is higher in the stack then the theme).
The second way to get themes is to download the files from the forum (from the links that members post). The files are usually in a .zip format. Extract the contents to your hard drive. Then go to Cydia and download open SSH and install it. If you have a Mac use CyberDuck and for a PC use Winscp. These programs will allow you to ssh into your phone.
When you ssh into the phone navigate to the following directory:
var/stash/themes/
Copy the extracted folder into the themes directory. You should then be able to apply the theme though Winterboard.
Hope that helps.
~S