If you have created a theme and you want to share it with others (perhaps in our Marketplace) or keep a backup, the IPS Community Suite makes it easy to download.
To do so, navigate to Customization -> Themes in the AdminCP, and click the dropdown menu next to the theme you wish to export. Click the Download menu item, and after a second or two your browser will prompt you to download the theme.
The file you download will have the .xml file extension. This special file contains everything your theme needs, including any images you've added.