In your scenario, I recommend using the following approach:
[web application root]
In other words, you will have RadGrid's skin CSS file, skin images and button images all in one single folder inside your theme's folder. Then for RadGrid you will have to set:
You can set these either in your ASPX or in your theme .skin file.
Custom skin CSS files for RadControls for ASP.NET AJAX have to be registered manually on the page, but this is not the case when using ASP.NET themes, so if you implement all of the above, you should be done.
Let us know if you need further advice.
the Telerik team