For most themes, which come with an install script, just run the script!
Cursors, manually, may be installed on`/.icons/NameOfTheme, or the name which you define below:
The following, tells x to use 'NameOfTheme' as the default system cursor:
Add a file .Xdefaults to /root directory, if it doesn't exist, and add this to it:
Alternatively, be sure to add 'index.theme', inside the root folder of each of your themes:
inside index.theme, place:
I hope this works for your distro/security level, too!