The last step is to put your image(s) where  can
find them. You could put them in Four-in-a-row's install directory (which will
depend on your particular system), but your home directory's probably
a better idea.
Make a ~/.gnect directory,
and a ~/.gnect/pixmaps
directory. Those names are important, as  won't look
anywhere else.
Copy your image(s) into the pixmaps directory.
If you start  from the command line, it'll give you clues about
about any problems it has with your new theme. If it has none, you'll
find your new theme listed the
Preferences Dialog.
Have fun!
