Create the Preview Icon
When building a Theme in Keynote, the FIRST regular slide in the Slide navigator becomes the preview that appears in the Theme window when you change themes or start a new presentation file. So you need to create a preview slide and make it the first (or only) slide in the regular list of slides:

In this example I have chosen the theme that my cutout matches
Save the Theme
Once your preview slide is done, choose Save Theme from the Keynote menu:
If you want every user on your Mac to have access to this theme, you will want to save your theme using the path above. If you want to limit access to this theme to YOUR user, save the theme using this same path, escept start with the Library folder that is in your Home directory instead.
Try out your Theme
Quit Keynote and relaunch it. You should see your theme in the window:
Other important things to know
If you are creating BOTH a 1024x768 AND an 800x600 theme, you need to make sure they are named correctly. If you have two copies of a theme, they should be names like this:
Theme Name Here_10x7.kth and Theme Name Here_8x6.kth
Notice you can have spaces in the actual theme name, but it MUST be followed by the underscore and the size code. And you MUST make sure the x is lowercase, or it will not work properly:
Theme Name Here_10x7.kth is correct
Theme Name Here 10X7.kth is NOT correct