Not all themes do a weather skin. You can create your own though using the file structure i mentioned. There is no other Bundles folder for a Winterboard theme.
What I have done is take a theme someone else has done to learn the file structure then I edit the pngs in Photoshop or Paint Shop pro depending if I'm on the PC or the Macbook. The actual image dimensions need to remain the same.
I am using a Weather skin that was originally available on the old Customize app and I repackaged it to work with Winterboard and SSH ot to my iPhone.
There are some Winterboard friendly ones right here on the MMi downloads.
Apple & iPhone 3G Forums | ModMyi.com - Downloads - Weather App Screens