I am new to the Telerik Controls as well. But I am trying to create my own Theme as well, and I would like to share my results, perhaps they can help you. I looked at the Telerik themes and the way they are made up. I tried the following way and it worked so far:
1. Create a Silverlight class lib Assmebly that contains only of the XAML files. One .XAML file for each control and one Generic.xaml that references to the style files as merged dictionaries.
2. Within the "main" Silverlight project, create a class MyTheme that derives from theme. In the consturctor set the base classes Source-Property the a uri pointing to your Theme assemblys generic.xaml file.
3. Within the App.xaml.cs of the "main" Silverlight project, set an instance of MyTheme class as ApplicationTheme. This must be done as early as possible (I did it wihtin the constructor) in order to take effect.
I have a sample project I can send you, but I don't know how to upload it here. If you are interested, tell me your Email-Address and I will send it to you.
My own question, that I posted on http://www.telerik.com/community/forums/silverlight/general-discussions/create-a-custom-theme-based-on-exisiting-one.aspx goes a little further: how can I create my custom style based on an exisiting style? So that it uses for example office blue for all controls expect the ones I explicitly define otherwise. Any ideas on this will be appreciated.