In Cydia, tap Sections, then scroll down to Themes (Winterboard), tap and choose a theme. Select Install in the top right of the title bar. Open Winterboard, scroll to the new theme and tap it, this will check it. Click the home button, and Springboard should respring. If the theme doesn't look to have applied, then you can hold and drag the theme up and down in Winterboard with the far right of the theme's name. If the theme is higher, it will be displayed above all other themes.
You can always add themes by SSH too, from places like MacThemes.