You need to upload the theme via a Network connection (once uploaded, disconnect the Network and the theme will stay in flash memory) so, before installing them in the gallery … upload the theme via a Network connection / Web Browser
The only way to install a theme without Any Network connection is via Custom Firmware running off a flashdrive (the theme resides on the flashdrive and not in flash memory)
http://forum.wdlxtv.com/viewtopic.php?f=66&t=8707&start=0
2 points though … you still need Network Connection to Setup the custom firmware (initially) and also if someone nicks the flashdrive, you will lose the theme