Yes, I am referring to the device OS package.

You will not have any loader files until you download an OS package and install it on your PC. You do not, however, have to update the entire OS on your device (although there's no harm in doing so). When you install the package onto your PC it will create the loader files directories and unpack the modules (.COD files) that make up the BlackBerry OS. You may then either update the whole OS according to the instructions found here on the forums or extract only the .COD files for the themes you want and install those manually through the BlackBerry Device Manager.