Let’s say you are using the Simple Theme
The XML file would be under
/themes/simple
in that folder should be simple.xml
As for the assets folder that’s just his naming style, you could name it whatever you want, just create a folder and put the file in there and make sure the folder name you made matches the one in the xml.
Although if you customize different skins for each system you’d likely need to edit each individual console theme xml as well to match.