1. Make sure your phone is jailbroken. If it's not then follow the guide given below
Jailbreaking & Unlocking iphone 2g (iPhone OS 3.0)
Jailbreaking & Unlocking iphone 3G/3GS (iPhone OS 3.0)
2. Open cydia and install WinterBoard.
3. Restart your phone
4. open WinterBoard and select the theme(s) you want to apply.Checking any theme(s) will enable it(them) and uncheck any theme(s) to disable it(them).
5. Download Custom Themes From Cydia and use step 3 to apply your downloaded themes.
6.WinterBoard also tweaks system settings and let's you add many more softwares for the iPhone(eg volume Boost,Supreme Preference).