IMO CHMM is the best for themes as you can use ANY theme you want and it will not get deleted whenever you enter eshop. I love it as I can have loads of themes and let it shuffle as well
For DLC I made a folder containing only the dlc I need right now and after I enter eshop I install all at once with BBM which only takes a few minutes to install and no save data seems to be messed AFAIK
I am not sure about games yet but I have heard that they get deleted as well if theyre not legit/purchased. Im not sure yet if entering eshop removes everything (save data, spotpass, streetpass data) so backup your data if its important