I've downloaded some nice themes, icon packages, and pointers from sites like gnome-look.
Now, what do I do to use this theme? Do I have to save it in /usr/share/themes?
It's not a problem of where they are located. It is a matter of how 11.10 and GNOME 3 have changed.
For some reason (I don't know why) the GNOME developers have removed appearance properties from the system settings, under the impression that users should not have the power to choose their own theme.
The Ubuntu developers where kind enough to patch the control centre to allow for us to use Ambiance and Radiance, but if you want to use other GTK+ 3 themes you will need to install gnome-tweak-tool . After installing, you can find it by opening "Advanced Settings" from the Dash.
