Well as long as you download some platform videos then themes will be setup once downloaded. Videos are not provided with the themes themselves for two reasons, one to keep download size of themes down as much as possible, two so as to not force certain videos onto users, they are free to use any platform videos they like.
Artwork goes in the Launchbox/images folder depending on the artwork type will depend on the folder but its pretty straight forward. Take Super Nintendo Entertainment System as a example. The games art would go in Launchbox/Images/Super Nintendo Entertainment System then one of the sub folders depending on the artwork type. Art work needs to be named correctly though, either the same as the rom or the same as the game is named in Launchbox in order for Launchbox to attach the correct images to the correct game. If you download the images from within Launchbox via the scraper this is all done for you.
Platform specific art would go in Launchbox/Images/Platforms/name of platform/image type.