Themes released to the public supposedly work "out of the box", unless noted otherwise. If there is any effort on your part to get some aspect of the theme to work properly, it is on a per-theme basis and is hopefully documented.

Traditionally, Winamp is popularly supported in varying degrees by themes that do, without additional effort from you.

foobar2000: Same as for Winamp, but you might have to install a component for some themes to fully function (foo_winamp_spam.dll).

As for other media players, I don't know.

But you can't expect to install LiteStep for the first time and next make your own theme right then and there, if that's what you mean.