The jQuery Mobile framework supports a theme mechanism similarly to jQuery UI. Unlike jQuery UI a theme in jQuery Mobile includes a CSS file only. In additiion, each theme can support variants known as swatches. This way, we can use a specific theme and apply for each one of our pages and even for each one of a page components a different swatch (different variant of the theme in use). The third topic in my jQuery Mobile on going course covers the usage of themes. You can download the slides of this topic and watch the video clip available below. I believe it will assist you with doing the first steps.
The professional version of my jQuery Mobile course is available at www.xperato.com. The community version is available for free personal and academic usage at www.abelski.com.