Boot into recovery mode (Hold down power+home until you are in recovery)
Do NOT wipe, or backup.
Just select 'apply any zip from SD', select the theme file, and flash. Reboot
WARNING: You CAN'T uninstall a theme. If you wish to change themes, you MUST wipe and reflash the CM40x ROM and start over. I would suggest NOT doing a backup, as this will delete the backup of the original image done when rooting the phone. Also, the themes MUST be for the correct version of the ROM. A theme for 4.0.1 will NOT work on ROM 4.0.2, and so on. So if you update the ROM in the future, it will wipe the theme on its own, and you must reflash the theme when the correct version comes back out.