Do you mean flash themes? If so you have to put *.swf files into tpa/preset/system/desktop/flash via any program that can do this (in your case XS++ is OK).
Then you have to create a "link" to tell the theme witch desktop flash menu should it use.
To do this you have to edit the theme.xml file in the .thm archive.
You just add this line: <Desktop_style Type="File" Source="example.swf"/>
where "example.swf" is the name of the flash menu you have copied on the phone.

EG the first three lines of the theme.xml file is you have copied the "Final_Citybeat_desktop.swf" file and want to use it should look like this:
<Sony_Ericsson_theme version="4.5">
<Standby_image Source="standby.swf"/>
<Desktop_style Type="File" Source="Final_Citybeat_desktop.swf"/>