Quick version:
Using Ninjamorph, create a new project and extract the framework_res.apk. You should be able to browse to the system/framework folder within Ninjamorph and find it. It will extract to a folder on the SDCard (android_themes or something).
Connect the phone to your PC as USB Mass Storage. Extract the Watermark'd theme using a zip extractor, and then extract the framework_res.apk from within using a zip extractor (have to manually open it in WinZip or the like).
Once you have done this open the drawable_hdpi (I think*) folder in the android_themes/workspace/frameworkres_apk (I think that's it) and the drawable_hdpi folder in the watermark'd extracted framework_res.apk folder.
I place the folders side by side on my desktop and then go through and use the icons I want from the Watermark'd theme or the like and then drag them into the folder on your SDCard. You can basically change any icons in there with the icons of the same name from other themes.
Once you complete that, go back into Ninjamorph, Click Finish Project, and then click the framework_resapk project. It will compile the framework_res.apk back up and it will replace the existing one in the system/framework folder. It will reboot or you will have to reboot to see the changes.
That has worked for me many times, and I am going off of memory here. I hope this helps!
BTW, MAKE SURE YOU MAKE A NANDROID BACKUP! Always do this when messing around with system files.
