There's a very old tutorial on the Help page of the Winstep web site, but some of the information in it, particularly in what concerns WorkShelf, is now a bit incorrect. You will find plenty of information in the NextSTART and WorkShelf User Guides though (just click the Help button in Preferences).
Bottom line, as with everything related to skinning, the best way still is to study existing themes to figure out how the other skinners did it.
Also, feel free to pester me with questions via the Winstep support address and/or Winstep Forums.