I guess with theme you mean the look and feel you configure Phex to use, or? The GTK look and feel is something Sun Java provides, there is not much we can do about it. The best supported look and feel in Phex is PlasticXP.
To try to solve your CPU problem, try to reduce the max download connections global to 1. Ok, this will slow down your downloads very much, but it might help to find where the problem is. If you now have lower CPU, raise the value every few minutes and check if this is what makes your CPU suffer.