As Mike pointed out, we need to implement XP's native theming APIs anyway, so that's where you should start. You can hook in to the gnome and kde theme config files at that level, and the changes will naturally affect all apps, just like you want. Or so I gather; I haven't ever used them.
I think apps have to be explicitly linked against the new common controls lib in XP - some apps need to be reworked to use the new theming APIs directly, hence the fact that some apps use the old look and some use the new.
Sure, but it's a really big job, probably bigger than you want to tackle.
To James: Agreed. Look through the archives for jan and feb to see what the problem is. Basically it requires extremely in depth knowledge of Wine threads and the new glibc threading - a bit elite for most ;)