Yes. Custom ROMs will come with a kernel as part of the install package, but if you want a different one you will install it after you install the ROM.
So something like this basically:
1 - Reboot into recovery
2 - Make backup
3 - Wipe (may not be necessary, but I always like the idea of wiping before installing a new ROM)
4 - Install ROM
5 - Install Gapps if the ROM requires them
6 - Install kernel, theme, extras.
Personally I boot into the ROM after step 5, then once I get into the ROM, I reboot into recovery and install the theme and kernel. But that is just how I do things.