You do have to use the full path, which may seem like it negates this coolness factor. HOWEVER, there is a way to get around it (isn't there always?).
What you need to do is (if you can) insert a code snippet in the URL for the image source and make the theme folder dynamic (based on the currently applied theme). Something like this should work:
<img src="App_Themes/<%= Page.Theme%>/images/xxx.png"/>
Your other option would be to include the images in the theme directory and then create a skin file that maps something like an image control to your image. Then, in your page, add the image control to your code and reference the skin ID you created in your skin. If you do that, when the skin changes, so will the images. Now, if you have a LOT of images, this won't be desirable because, using this solution, you would have to create a new SkinID instance for every image. But its doable (and, if you only have a few images, like a header image for example, then this might be a good solution).
Hopefully one of those approaches will help you ou.
-Jacob