Here's one solution, but it's not really practical. The other option is BootCamp to run Windows.
I read that a future PSP update will allow it to download directly from the store to it. When that will be available, I don't know.
Blah, Sony hasn't really changed. I say this, because their Clié -- a "Palm" PDA -- didn't have Mac support back in 2002. I would assume that they'd like to appeal to as many users as possible with their portable media device, especially the kind of guy that would also buy an iPod.
Just yesterday infact I found out about CTF themes. They allow for much more customisation. Just follow these instructions. Once it's all installed it replaces the online manual link with one to a major CTF theme website, and from there you can download themes right from the PSP and into the right folder.