hey man ....you have many ways to do this but i ssugggest this for you....
for applying a theme u can use an answer file to do this ....add this to your answer file :
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[Shell]
CustomDefaultThemeFile="%SystemRoot%\Resources\Themes\VistaXP.theme"
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then place your theme in this address in your root cd
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$OEM$\$$\Resources\Themes\VistaXP.theme
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then add this to your answer file to know that $OEM$ is available in your cd
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[Data]
MsDosInitiated=No
[Unattended]
OemPreinstall=Yes
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for apllying a wallpaper you can set in your system then save it as newnew theme file with your favorite theme then place your wallpaper in this address of your cd
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$OEM$\$$\Web\Wallpaper\
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for apllying a custom screensaver i dont know a standard way but you can do this :
windows xp defualt screen saver name is : "logon.scr" ....you can rename your favorite screensaver to logon.scr then place it in your drive c .......then go to run type cmd
then type "cd.. " twice to navigate you to drive C ....then type "makecab logon.scr"
now you have "logon.sc_"......... overwrite it in "i386" of your XP cd
sorry for my english ....it's not good
I hope that this help you
Good Luck man