upgrade :) (I read and tested all)
So, insert a .swf flash menu inside the .thm is not possible. You have to flash the .swf inside your phone (if your phone support flash menu) using xs++ (follow this tutorial from point 1 to 7) , after simply put the .thm file in your phone (through bluetooth, or directly in theme folder present in your memory stick).
If you have only the .swf file without the counterpart file .thm the reason is that you have to create a .thm file or have to change another one that just you have.
To change a .thm in order to merge your .thm with .swf you can follow the same tutorial above from point 8 to the end. To create a .thm you can use "myTheme Creator" program (a good free program) or directly download for free various .thm file online (look at top sony forum to have various free site link)
Hope to be helpful to you ;)
Nice day