A good page with themes is

To use a theme with USB Loader GX, you have to copy the theme folder to your SD and set the path to the folder to the Loader's settings
ex. SD://usb-loader/themes/MadWorld/

When a theme is not changing only the images it has a GXtheme.cfg file at the folder. The old name for that file (and not used by the program now) is theme.txt
This is the official but outdated page for themes ->