Understanding the world also requires theory. They are theories about the world. The priority of evidence vs. theory, is not my worry. Let me defend the naturalist position here. I'm sure he must.
Theories are presumably either sentences or beliefs or something in between.
Anyway, it should not be any harder to naturalize theories than it is to naturalize belief and language. Stroud's essay argues that Quine's progression from Carnap-like ontological tolerance, to physicalism, to an ontology exclusive of everything save sets, is the mark of a metaphysician at work. In the reply, Quine says that his physicalism was never more than fallible science. I agree with Quine. I don't see any metaphysics either.