In your "main" method, you create a new local Theme and call Load with a theme. 3 sample themes are included in the Themes folder. One of them is just the "Bluebar" sample theme that covers only menus, but converted to my format.
Load just load the Assets.
Apply changes the look.
There can be some rare minor issues if you call Apply after the creation of your windows if I remember correctly.
Each Theme::LoadFoo private methods shows you how to set most of not all the look of a widget.