The best way to get themes is to download them through Cydia or Icy and the apply them via WinterBoard (separate install). WinterBoard/Cydia save themes to / > Library > Themes. There are several applications that will allow access to system files without SFTP. Otherwise, install OpenSSH (follow the instructions in Cydia), and use an FTP application that supports SFTP (most do; lots free). Themes are in the same location. I created custom themes and upload them to my iPhone (lock screen, colors, icons, etc). I've done the same for SBSettings (themes located in a different location). Don't worry, this is all easy stuff!
