maybe that works... but for me I copy the files directly to the Windows folder on the pocket pc and then they show up in the Today list... under the settings menu
so, go to... Start...Settings... Personal Tab... Today, then you should see all your themes in the list.
Well I just checked, and yes you're right... you can also save them to your My Documents folder, kind of like saving background pictures for your desktop. Originally I had saved the .tsk files in different locations... and they would not work.