Screensavers really get relegated to being an afterthought in many cases when you are building themes and skins for Windows XP. This is probably because we interact with many of the elements a theme or skin applies to the Windows interface (such as the taskbar, window elements, control buttons, and so on), but we don't typically interface with the screensaver. It runs when we aren't at the computer.
Many screensavers are available for download, however, so it isn't difficult to find and install a screensaver that fits the overall idea or theme you had in mind when you developed a particular Windows skin. Plus, you can always make your own. Screensavers do play an important part in the overall personalization of the Windows GUI that themes and skins provide.