Simply put, a theme is a group of configuration settings and images that when used together looks good. Themes are pre-made, complete settings for your window manager.
AfterStep themes are new feature of the window manager, and since 1.7.160, are completly implemented.
Both of these locations allow users to download a variety of themes, and upload their own.
It is very easy to install a theme. Simply download the theme.tar.gz file and put it in ~/GNUstep/Library/AfterStep/themes/, update your startmenu, and select the theme from the start->Desktop->Theme menu.
Edit your look file, pager, wharf, and winlist configurations so that it all looks good. Make some images to go with it, and select Create Theme from the menu. The new theme.tar.gz will appear in ~/GNUstep/Library/AfterStep/.
Read the documentation provided on http://as.themes.org/, if you still have a question, email the mailing list or as@themes.org.