Yep you'd have to use a theme but the pics still need to be there. (By having them in the directory they don't have to be re-downloaded if the cache empties for some reason....and if they're in the folders rename them backdrop.jpg backdrop1.jpg etc.)
I'm using the theme Subdued right now which offers a backdrop rotation...just a fancy gimmick

Why am I telling you that:
I believe it's important that you have the folder structure down. That way you're able to fix it in case the scraper comes up short. I had a few shows/movies that weren't found for several reasons, so I collected the necessary pics through google images, renamed them properly and never had to worry about them again. It just looks so ugly if one movie shows just an empty frame. Here it looks like that:
Movies
1 Folder per movie (named like the movie, possibly incuding the year in ( ) ) it contains the movie, 1folder.jpg, 1 or more backdrop.jpg
TV Shows
1Folder per show, containing 1 folder per season, 1 folder.jpg, 1 or more backdrop.jpg
Seasons Folder contains all shows of that particular season and 1 folder.jpg
Episodes should be named something like either csi 1x23.avi or NCIS.S01E23.mpg
I hope that's better understandable now.
-DG