A theme in Kirby is really more of a complete installation consisting of the site, assets and content folders. The reasons for this is that content, templates, blueprints etc. are closely tied in Kirby not only by their file names, but also in what they render.
With Kirby, you are absolutely free to define your own content fields. To render these content fields, you need a corresponding template. And to show these fields in the Panel, a corresponding blueprint.
The small downside is that this makes switching between different themes rather difficult, as compared to Wordpress, where you only have one big field for all your content. The big advantage is that you get structured content that you can use in many different ways.
While it should be possible to install a lot of theme parts as a plugin now using Kirby's extension registry, there are still limits as outlined above.
This was just to give you some background information.
To answer your question, if you want to install a theme, either replace your existing files with the ones from the theme (rename your old folders e.g. with an underscore), or use a new installation.