If you want to use custom theme with themehax, you have to manually build themehax_payload with theme file.
To change theme, you have to build it again.
Set up environment (mingw, devkitarm, python 3.x .. etc) and build it from source :
https://github.com/yellows8/3ds_homemenuhax
make LOADSDPAYLOAD=1 USE_PADCHECK=0x200 ENABLE_LOADROPBIN=1 ENABLE_HBLAUNCHER=1 LOADSDCFG_PADCHECK=1 MENUROP_PATH=menurop_prebuilt THEMEDATA_PATH="
decompressed regular theme body_LZ filepath"
This will take a LOT of TIME.
You have to decompress body_LZ.bin before building. (It is compressed with LZ11)