Well it depends what OSX your running, If you are running Jaguare you need the new Duality beta.
v4.0 MS2. I don't think this version will run old Duality 10.1 themes.
If you want to be able to use themes under Duality 3.0, there is this dumb bug. What you do is, quit Duality, and open your Library->Themes folder. Then phisicaly drop the .theme file into the folder. That should let it apear in the Duality selection window.
DO NOT INSTALL 10.1 DUALITY THEMES UNDER JAGUWARE!
There is a converter tool that will change Duality 10.1 themes into 10.2 themes. Though I don't have the link on me.
Under duality 4.0 (if you are running jagwyre), installing a theme is easy. Simply click on the plus sign underneath the theme selection window, find the .theme file you wish to add, enter your PW and Apply. Re-login and you are done.