Did you look at existing posts regarding this issue? There are several out there and two that I replied to in the last couple of days. I will repeat what I mentioned in the other posts and you can determine whether the solution is satisfactory.
The solution I used to add a close button to the pane tab does not require creating a custom theme. I was originally going down that road but decided that it was too much reworking of the RadDocking control templates and styles. My solution uses a Style for the RadPane/RadDocumentPane and only changes the RadPane.HeaderTemplate with a DataTemplate containing the close button. Everything is contained in the header DataTemplate so you only have to create a global style for the RadDocumentPane and set the HeaderTemplate property to this DataTemplate.
This solution does not remove the close button on the tabstrip if that is a requirement for you. Removing the close button from the tabstrip appears to require a custom theme or editing the Telerik templates, as suggested by Dani, which is more work to implement as mentioned above. I found that leaving the tabstrip close button did not pose any real issue other than a redundant means of closing the selected tab.
You can take a look at the solution I proposed and decide if it meets your requirements.
Here is my original post with the DataTemplate and Style defined:
Hope this helps.