Unlike some other desktop environments, Xfce does not currently have a separate application to help you automatically install new desktop themes. Instead, to use a new desktop theme, you need to store new themes in a special folder inside of your home folder. The following instructions will show you how to install and use a new desktop theme in Xubuntu.
Download a theme from the internet, and save it to your computer. Xfce-look.org is a popular site that contains many themes that are compatible with Xubuntu. Additionally, many of the Gtk-2 themes from gnome-look.org will also work with Xubuntu.
Create the .themes folder. Inside of your home folder, create a new folder and name it, ".themes". Thus, the full path to this folder would be, "/home/jim/.themes" (where "jim" is replaced by your own username).
Extract the theme archive into your .themes folder. Using Thunar, navigate to the folder where you downloaded your theme archive. Using your mouse, double-click on the archive that contains your new theme. This will launch the file-roller application. Use the file-roller application to extract the theme into a your newly-created .themes folder.
Select the new theme. After completing these steps, your newly installed theme should be available to select in the User Interface Settings utility.