Themes are tied to our graphical roadmap.
This roadmap is theme-based and in order to add features to it, you need to separate them into themes. These themes also feed into your reporting.
Themes will only contain features that you have set to "Building" or "Planned", so if you'd like to segment / analyze all of your features, we recommend using feature request tags.
Read about how to add themes in the graphical roadmap here.