When you're done creating your theme, make sure you save it by using the "Export Theme" feature in the Advanced Settings menu. This will save your theme as a zip, which will be accessible from your /MyColorScreen/Themer/Exported/Zip folder. You can also apply your theme to your own phone from the Exported menu.
If you want to find more information on how to create themes, check out our videos on our Youtube channel (http://www.youtube.com/user/mycolorscreen). You can also find useful tips and tricks on our forums at XDA (http://forum.xda-developers.com/themer).