To create a new theme, open File > GUI > Themes, select ?New? and name and save the new theme. Now at first] this will only contain the default values. Now you can go about and edit the items that make up the Theme:
Message Colors
Widgets back- and foreground colors
Window Icons
Window Title bars' back- and foreground colors
Highlighting Colors
Widget fonts
I believe most items are self explanatory but I will go over the Window Icons.
Go to File > GUI > Windows&Tray
There you will see where you can change the icons. When the option ?Display Icon on [normal]? is selected, then you will see what the icons will look when the mouse is not hovering over the icons or pressing the icons. To change this set of icons, click on the icon itself, and it will bring up a file browser, so that you can find the icon that you want. To change the set of icons for [button pressed] make sure that option is selected, then click on the icons again to change them out.