You should indeed unzip the theme from the theme creator. You only forgot one step before zipping the files again. You should compile the sass files again. See the documentation here: https://world.mendix.com/display/public/howto6/Setup+Mendix+UI+Framework+with+Koala or here: https://world.mendix.com/display/public/howto6/Create+a+custom+theme+with+the+Mendix+UI+Framework
You shouldn't have to unzip anything. By default there should be a custom.css under theme/styles/css/custom (or something along those lines).