No, you don't have to change your theme. You can still use LSBox, but if you start making a new theme you should use xLabel instead of LSBox.

You cannot implement IconDesk in another module, IconDesk doesn'`t support this feature! IconDesk can only be displayed on your desktop.
If you want a simultated Explorer Desktop you can use clickonic instead of IconDesk.
You can download all the recent modules at http://www.ls-universe.info

xLabel supports all features you can think of and some more. Just look at the docs http://xdocs.ls-universe.info