Just copy the zipped theme file into the theme folder in your project directory. Once the zip file is in the theme folder you can select the theme in the modeller. In the project settings select the theme from the dropdown.

This article may help: https://world.mendix.com/pages/releaseview.action;jsessionid=D4B8EFF19AF1D53E10F86F937DC4D392?pageId=12748203