Step 1: Open 2 Stage Manager windows.
Step 2: File > change directory (on both).
In the 1st window - [SD/projectm/pf/stage/melee], or the one with Theytah's build you're using.
In the 2nd window - [same exact location, but in the untouched project m that you downloaded].
Step 3: In Window 2/the clean PM,
Right click > Export, all the stage icons/previews into a folder, and preferably name them all by stage name & type of icon.
Step 4: In Window 1/Theytah's/SD card,
Right click > Replace, all the images for the stages you want changed. And click save changes and it should show a progress bar.
That's it. Unless,
Step 5, if you haven't done so, copy the clean PM's [projectm/pf/stage] folder onto your SD card into the same location. Then you're ready to go with theytah's PM without the stages.