Yes, .skin files is what I was trying to apply. The skins for the default theme works, but I guess that's it. Why doesn't that surprise me?
Fortunately I wanted a single theme for all pages on the site, though I could see this changing in the future, so I was able to set the theme via the web.config.
Tried doing it via the masterpage codebehind, but apparently that's not possible.
I think there's a setting in Sitefinity pages where you specify what codebehind should be used, so I could create a dummy class that inhertits Page and sets the theme via the Page_PreInit event, but I don't want to have to set that on every page.
Hopefully this will get fixed some day.