In the picture of Dorian Gray what does Dorian mean when he says, "Each of us had heaven and hell in him" and how does this connect to the theme of...

By this quote Dorian Grey means that people have the capability to do great harm and the capability to do great goodness in the world.  You mentioned the theme of wrestling with the conflict of choosing to do good or evil.  That's exactly what Dorian's comment shows.  He shows that man isn't born good or born evil.  He says in the quote that a person has the opportunity to choose between the two states every single time.  It's a common theme among authors.  For example, the same theme is illustrated in William Golding's Lord of the Flies.  In that book, one of the main characters, Simon, realizes that the evil monster is not an actual thing.  It is the boys' own ability to choose to do good and right or become the evil "Lord of the Flies" that they all fear.  Dorian says the same thing when he says that a person has the ability for heaven (good) and (hell).  He specifically says "and," not "or."  It shows that both are present.