Hi,
When you buy the certificates you will get a certificate file. The mechanism from Thwate is the file is self installing. This has now installed those certificates on your PC. So when you go to publish your InfoPath form, in the Form options, security tab you will be able to select the appropriate certificate to sign the form with.
As it happens we have installed the certificates on the server because occasionally we have needed to re publish the form from the server and this way the certificates are available.
However do note, publishing from your PC to the server will bundle the certificates with the XSN. There is no requirement to install the certificate on the server.
glad to help :) Scott