You are OK here Then do as Arc said by making a Wallpaper folder in your theme folder.
Then (I am using theme 1)
Go to Personalization and apply your theme
Go to Desktop Background
As Arc said set your backgrounds and check Shuffle + time and Save changes
You should have Unsaved Theme choose it and the click on Save theme
Give it your theme name and Save
Now your theme is saved but you need to right click on it and choose Save theme for sharing
Give it your theme name and Save (I saved it to a new folder on the desktop)
You will need something like 7-Zip Download
to Extract the theme pack
Inside the theme pack copy the .theme file
Go to C:\Windows\Resources\Themes and replace the .theme file with the one from the theme pack in step #9
If you right click on the .theme file and open with note pad you can see the changes.
Now you have a theme folder and a .theme file you can share