You have to install a deodexed rom first.
Brief explanation of the difference, on odexed there's two apks for each app. The odex app contains all of the Java/smali code for the app etc...
Deodexing places all of these files into one file classes.dex and places it into the regular app. Thus making theming far easier.
I personally only know two people that can theme odex roms, and both are on xda. It is exceptionally difficult, seeing as all the theming has to be done in smali code.
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