As of Espresso 1.0.1, you can double click sugars to install them. Make sure that sugars have been decompressed correctly - you should have a file called "XYZ.sugar".
Sugars live in Your Home Folder/Library/Application Support/Espresso/Sugars/
If you haven't installed any sugars before, you may need to create the directories required. To do this quickly, execute this commands in the terminal:
mkdir -p ~/Library/Application\ Support/Espresso/Sugars/
Then use Go menu → Go to Folder in the Finder and copy the sugar to ~/Library/Application Support/Espresso/Sugars/
As with sugars, make sure you've decompressed the theme correctly. You should end up with a file named "XYZ.css".
Themes are installed in Your Home Folder/Library/Application Support/Espresso/Themes/
To create this folder, execute this command in the terminal:
mkdir -p ~/Library/Application\ Support/Espresso/Themes/
Then use Go menu → Go to Folder in the Finder to copy the theme to ~/Library/Application Support/Espresso/Themes/
Derek Reynolds (maker of the PHP sugar) has made a nice screencast explaining all this: Espresso - Extending Espresso