You'll find precious few 'Dock Themes' available for download. Dock Themes tend to be near useless for anyone other than the creator.
What you're probably downloading are icons, and backgrounds. Icons (PNG, and ICO files) can be extracted anywhere within the ObjectDock directory, but I suggest you set special folders for them. Backgrounds must be extracted to the Backgrounds folder.
You need to build, and save your own personal 'theme(s)'.