Once rockbox is installed:
Extract the fonts to .rockbox/fonts. jBlackGlass will have theme files, wps codes, and backdrops.
Extract these to the corresponding folders in .rockbox/ and you need to save your modified background as a 24bit bmp. The easiest way to get that to work is to replace the background in one of the jBlackGlass wps folders in .rockbox/wps. Make sure it has the same file name as the one your replacing. Your modified theme can then be loaded by going to (rockbox menu) settings > themes and select whichever version you swapped your background into.