Two ways, one way is to pick the skins you want to package. The other way is to set your desktop up the way you want, then tell Winstyles to use the current deskstop skins.
Either way, startup Winstyles. (Bring up your display Properties dialog, press the Winstyles tab, then the Winstyles button, then select Run Winstyles).
This brings up the Winstyles dialog. Press the Build XP Theme button.
Now, either select the skins you want from the tree control on the left and add them to the list on the right, or press the Current Desktop button which will populate the list. Remove any items you don't want.
Additionally you can Browse for the skins as well.
Now press the Save As button and save the style as an .XPTheme file. Save it in the Object Desktop Winstyles Themes directory so its easily accessible by The Display Property Dialog's WinStyles tab. Close the Winstyles app.
Now in the Display Properties dialog's Winstyles tab, you can select the winstyle theme and apply it to your desktop.