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There is a tool called LiteStep Theme Downloader - LSTD, which can help a bit.
You can grab it here:
http://www.litestep.bip.ru/download/lstd-0.2.zip
[copy/paste the address to the empty browser page, because offsite links doesn't work on bip.ru :( ]
It works fine with 90% of themes, but there are some troubles:
1) if used modules are defined by e-vars like
*NetLoadModule $popup$
instead of IF ... ELSE
Some theme makers are bad, bad, bad ;)
2) or arhive has unrecognized format (actually I don't know why zlib doesn't work with 1984 theme, for example)
this tool won't work
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To enable using downloaded modules just add a line
*NetLoadModuleSite "X:\Download\LiteStep\Modules\"
where X:\Download\LiteStep\Modules\ is a path to them.
Also there is a disadvantage: LSTD can download modules only from one place, so sometimes it required for changing the modules archive site from
http://modules.shellfront.org/
to
http://www.loose-screws.com/download.php?netloadmodule=