All themes are downloaded to your device’s external memory if possible. For most high-end devices, even downloading as many as 30 themes will only take up a minimal amount of storage space.
Theme selection has been specifically built so that themes are exchanged in the app, so that adding more themes doesn’t take up more memory. If you are seeing a small memory spike, this is most likely due to loading the theme previews in the store. Changing themes multiple times will not add to SwiftKey’s memory footprint.