Just extract the package to ~/.kde/share/apps/desktoptheme/
Eg:
Download Caledonia theme.
Then,
tar -xvvf ~/Downloads/Caledonia.tar.gz -C .kde/share/apps/desktoptheme/
Now, visit the Desktop theme menu to set this as default.
Login screen theme:
Apparently there is no interface to change these, for regular users. However, the location is:
/usr/share/kde4/apps/lightdm-kde-greeter/themes/