There are two things. By adding a theme we could refer to adding a theme to your account, or we could mean adding a theme to the site. I'll cover both:
Themes are just text content. They are written in mostly CSS. The best location for them is in /s/Themes.
To activate one just copy the url of one of those posts. Then click on the gear in the top right. There you will see a box where you can paste a theme. Just paste the URL. It should save any changed settings instantly.
That's all it takes to use a theme.
Next I will cover how to make a theme in the next /s/help post.