%AppData%\Winstep\DockIcons\Themes (Windows) or ~/Library/Application Support/Nexus/Themes (macOS with Nexus)
Indicators (the marks under open apps) go into the Indicators folder in the same directory. Winstep.net Winstep Nexus Dock and Nexus Ultimate nexus dock theme
[Indicators] Active=indicators/active.png ActiveAlign=Bottom nexus dock theme