Open the Settings Window (Menu -> File -> Settings).
Choose a theme to start from, can be any of the default installed ones or a custom one you've downloaded.
Right-click on the theme name, and choose "New Theme".
Type a name for your theme into the popup and press OK.
Editing your theme
Your theme should now show up in the list, right click on it and choose "Show Theme Folder".
A window will open showing all the files that make up the theme, and you can now edit and change it as you want.
The main file you're interested in is theme.style, you can open this with any text editor to make changes. It's best to use one that has syntax highlite for CSS. On Linux all the default text editors installed with Gnome or KDE already have this, on Windows, you can use a free one such as NotePad Plus.
To preview your changes, just save the file and double-click on your theme again in the Theme Manager window, the changes will be loaded in and you see how it looks.
You can replace any of the default images in the folder if you want to customize them, just make sure to keep to the same dimensions.
Exporting and Sharing your theme
When you are ready to share your theme with other people, right-click on it in the theme manager and choose "Export" - set the filename the same as your theme name, and the program will create a single file that contains everything (the theme file and all it's graphics).
Upload the .vft file, and post a link here, so others can download and enjoy your new theme!