For OTA, straight place it in your Blackberry!
How To Install BlackBerry Themes
First download the new theme to your PC and unzip it if necessary. Plug your Blackberry to your computer, open your Desktop Manager software and select Application Loader. Choose 'Open', then 'Add'. When the dialog box opens up, find the 'alx' file associated with the theme you have just downloaded, select it, and click OK.