The only clue from the little I studied Cheapo years ago is that the files are zlib compressed. Unfortunately I don't have time myself to revisit it currently, but the first step would be to decompress the files programmatically (zlib is open-source) and see what you can find in the raw data.
I'd like to convert some of the Cheapo styles too... I quite liked the fantasy forest theme, and while not possible to port to Lemmini, the "Original Lemmings" was a clever one (which had the lemmings with grey hair and hunched with walking sticks, and the climber animation was a lemming sitting in a stairlift!)