The first 3rd party themes for Docky have been made and popped up on Gnome-Look by user mio6.

Two themes are included in the package. These are: 

Bluesmoke: –

and Grey: –

Download

http://gnome-look.org/content/show.php/Themes+for+Docky?content=117108

Install
  • Extract the archive
  • ALT+F2 
  • gksu nautilus /usr/local/share/docky/themes
  • For some this may be gksu nautilus/usr/share/docky/themes
  • Move the two extracted folders into the ‘Themes’ folder
  • Restart Docky.

You can now choose them from the setting menu.