WordPress.com to WordPress.org?? Help using installed theme via WP

Hi,

I initially started using WordPress.com, and set up my blog there and purchased my domain name through WordPress. I later decided I wanted to use a custom theme, so I purchased a hosting account, installed WordPress via Filezilla, installed a custom theme via Filezilla. When I went to login to WordPress after my installations were complete, I am still in my WordPress.com dashboard (I think?) and cannot see my theme.

Do I need to do the transfer from .com to .org, and change my domain over to my web host account? I’m really stuck at this point and could some help.

I am somewhat new to all this, so detailed, simple instructions would help.

Thank you!