okay 2 things I wanna say:

1) Too bad you got a BRAND NEW PSP SLIM with custom firmware built in cuz if you had the original thing (whole package factory-fresh) then you can backup your flash and IDStorage keys 1st... just in case~

2) To get themes on your slim, you need:

- Your PSP Slim
- Custom firmware 3.60M33
- An upgraded theme (means upgrded .rco files...)
- a copy of CXMB v2.4

Steps are:
1- make sure you have 3.60M33
2- look for a theme you want
3- upgrade those theme files (.rco's) refer to here http://forums.maxconsole.net/showthread.php?t=78994
4- download CXMB here http://www.2alien.info/stuff/cxmbv2.4.zip
5- after upgrading those .rco's, DO NOT put them in flash0 cuz sony somehow protected it...
6- put your .rco's in ms0:/CXMB/
7- enable CXMB by placing the source files into ms0:/CXMB/vsh/ and go to recovery to enable it.

NOTE: you cannot load prx's yet, until they get decrypted, and custom fonts will crash the browser.
You can however load the reboot_plugin.prx, and the eboot_launcher_plugin.prx out of the CXMB/vsh/module folder.
Just make sure to name them to the corrosponding icon you want them to launch from.

Source:
http://forums.maxconsole.net/showthread.php?t=78885
Credit to Poison for making this awesome plugin!
Credit also to SchmilK for Updating his awesome Upgrade RCO App.
to apply themes RANDOMLY, go here http://www.2alien.info/2007/09/custom_xmb_...494_update.html