You download the the packs from the market, and then use the "Theme Chooser" application found on your phone to chose it. Chose your theme and reboot to allow for the theme to fully apply, and you'll be good!
For the most part rebooting shouldnt be necessary.
True. However if a theme changes the notification bar, a reboot may be necessary in order for it to be set completely. Generally the app developer states whether or not a reboot is necessary in the description.