Install the ROM, reboot, and test your phone for functionality, always do this so that you can make sure your ROM is working fine, after that you can pick your THEME and install it, same way you did with the ROM.
Some THEMES require to be install as a update.zip file, others can be install from sd card, that means that whatever you install as a update.zip must be renamed as "update.zip" for it to work properly and if its the other way you can leave it with the original file name, make sense?