Dialog themes provide a way for you to save the settings in the dialog to an external disk file for future use. You can save multiple theme files for a dialog, thus customizing the dialog to be used in different modes with different data for example. Theme files get saved to the Themes subfolder of your User Files folder.
Depending on what dialog, and whether the dialog is accessible from menu, your themes may appear as additional fly-out items in the menu. The theme can also be selected from the Theme drop-down at the top of the dialog.