Here's a guide from a template I used...
Follow these steps to install your ...... style.
1. Download the style from the Client area.
2. Unzip the file on your computer, and you should see:
- yourstyle-readme.html
- style-*****.xml
- "styles" folder which contains the images for your style
3. Using an FTP program, upload the styles folder to your xenforo folder. There will already be a styles folder, so simply merge the folders so they become one.
4. Log into your admin cpanel, select the "Appearance" tab > Import a style, and import the .xml file.
While the next few steps aren't required, it's a good idea to follow them, especially if you plan on modifying your theme..
5. Once the style has been imported, we want to create a child style which allows us to easily modify and upgrade the style if necessary. To do so, click the Add style button at the top, input your own Title and Description, and change the Parent Style to your newly installed xenfocus theme.
6. Now that your child theme has been created, visit the Styles page and disable the parent style for members since it's no longer necessary. Disabling the style simply removes it from the Style Picker at the bottom of your site. You can also set your child style as default (if required).
7. All done! If you ever need to modify the style: modify the child style but keep the parent style untouched. If you ever need to upgrade the style, you simply import the new version, replace the parent style when prompted, and your child style will automatically update!
Pretty straightforward and I would presume most styles will come with a guide of some sort