The easiest way to add a new theme is to open the Settings Dialog and click the 'Install button on the Docks tab. Then select a tar archive containing a theme and Docky will install it for you.
You can also manually install themes into one of these folders:
gksudo nautilus /usr/share/docky/themes
Place the theme there in a sub-folder with the name of the theme. Note that the folder isn't created automatically so you will have to create it.
Docky currently ships with 8 themes:
You can find other community-created themes for Docky from sites such GNOME-Look.org.