Yes, that should be working.
Two ways to do this:
Go to Settings > Themes > Open Themes Folder, and then place your theme (<themename>.bktheme) at the top level of that folder. The themes setting panel popup options should update immediately, allowing you to choose your theme.
Second way is to include the theme file along with a Bike extension. To do that you need to put the theme file in the path <extensionname>.bkext/theme/<themename>.bktheme
Themes are still pretty weak in terms of features (will change eventually), but I think the basic install and change functionalities should be working. Let me know if you run into issues.