If you want to install custom themes with new menuhax, it has been made rather easy now.
1) First you must install new menuhax, confirm that it is working and head over to the next step.
2) For custom-theme installation, the theme-data must be located at SD "/3ds/menuhax_manager/body_LZ.bin". If used, the BGM must be located at SD "/3ds/menuhax_manager/bgm.bcstm".
3) Once you have confirmed that menuhax is installed and indeed working, in the 3DS home menu, go to theme management, and it'll tell you it's creating some theme management data and to not remove the SD Card, allow this process to finish.
4) Go back to the menuhax 2.0 installer, you should see an option to install a custom theme, once you have the theme files in the correct file path, click on the install custom theme option, and it'll install your custom theme.
5) Enjoy your cake! And eat it too!
@Buttsnake you may wanna edit the op and link this post for future reference, so that anyone who comes asking this question sees this from the main post and we can prevent the thread being clogged up by the same question.