I’m working on a customization of the Thesis theme for a client.
A popular feature of modern websites is the featured posts slider. So I decided to use the Nivo slider, which is lightweight and has nice transitions.
To do this, first you need to edit custom_functions.php and add this code:

EDIT : use a plugin

I haven’t figured out how to use wp_enqueue_script and wp_enqueue_style with Thesis yet, so I used the absolute paths.
Usually I’d include all the javascript in the functions.php file

Copy the CSS from the nivo slider CSS file and paste it into your custom.css.
Here also I’d rather include the extra CSS file somehow.