Yes, you can customize your "Dock" which is the bottom of the screen.
Here's some other info to help with the switch.
1. On Sense, remove EVERYTHING from all screens. LauncherPro runs over sense, so if you have widgets running in Sense, you are going to be draining battery.
2. Be aware that you are going to be losing all of your sense widgets. There are some free replacements out there, but be prepared to spend some money. Beautiful Widgets is a great Clock/Weather widget if you like sense. If you buy launcher pro plus, you can get a sense like calendar, bookmark,friendstream, and contacts widget. There is also no "3G" widget, so if you want that to turn it on/off, buy "switchpro" it has a ton of things it can do... really nice. The only thing I havent found a suitable replacement for is the Gallery widget. HTC did a top notch job with that widget, and I havent found a replacement yet.
If you have a dock or car mount, launcher pro is nice because it goes in landscape mode, which is huge for me. I also recommend grabbing "Dialer One", which is a phone dialer replacement that goes to landscape. I use this in the car.
The launcher pro dev is really responsive, and this is a top notch app. I was a little hesitant about making the switch myself, because I really liked sense. With the constant updates, Launcher pro is awesome, and I have never even thought about going back... not even for a minute.
You cant do themes, thats ADW launcher (I think).
All in all, try it out. See if you like it. Make sure to DL Home Switcher and you can go back and forth real easy. LauncherPro has really turned into one of my "must have" apps