I'm not an expert but I can tell you what I did...
Primarily, I used this tutorial and then made the changes to the css file. I initially thought that the Zenphoto part of my site would still be under the rule of the it's theme css. This wasn't the case though - and every change I wanted to make in my gallery had to be made through my Wordpress theme css. I don't know why this was the case or whether it matters (Acrylian, perhaps you can answer that?) but it worked so I went with it.
Ultimately, what this meant was that I had to move some chunks of my ZP css to my WP file. I'm so new to this and tend to panic anytime I have to do something which involves more than 2 steps so I designed it all locally first using CSSEdit and TextWrangler. I worded with an entire copy of the ZP Default theme, which I renamed Default2, then just uploaded that and the new WP theme css.
That's it. It functions well.
Let me know if I can help in any way,
P