Plugin Integration with theme (aka: plugin auto installs with theme)

Searched around on the forums, haven’t found the answer I’m looking for.

So I’m building a theme and I’m using the Simple Nivo Slider plugin on the site right now. I’m wondering how would one make the Simple Nivo Slider auto-install with the theme?

Is there a set way of doing this? (Basically, I’m a intermediate/noobie and am wondering how the premium theme builders get their stuff to look so good (with sliders, etc) on the one click theme activate.)

Any info would be great. Totally confused, and just need to be pointed in the right direction.

THANKS!