If you wish to save themes in a directory, right click on the download link, and click "Save Link As..."
You can then install themes by dragging the theme you want onto chrome.
Installing a new theme, I believe, deletes the previous theme installed.
So you would have to download and install that theme all over again.
Chrome has no theme manager, in which to save and select themes.
Downloading themes to a directory is the best option available, at the moment.