If you are talking about Desktop X, when you have your theme the way you want it, just right click the DX tray icon and hit "Save theme as". Then give it a name and save it. If you want that theme to run every time your computer starts up, go into DX configuration and check the box marked "Run DX at startup".
With widgets, if you right click them, there is an option to run at start up.
WindowBlinds can also be set to load at startup, in the WB Config window.
If you want to combine all these elements together, then you will need to use theme manager. (See Byrons instructions above.)
I hope this helps. 
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