The application themes in Telerik RadControls for Silverlight work slightly differently in Silverlight 3 than in Silverlight 2. We did slight adjustments because we wanted to split the XAML of the controls in separate files and in addition, simplify our code-behind of the theming mechanism. That's why there is an additional requirement for application themes: the XAML of each control should be accessible from a xaml file named after the assembly where the control is defined. If the XAML of the control is in a file, named after the control, in the theme assembly should be a xaml file, named after the control assembly, that references the control xaml via ResourceDictionary.MergedDictionaries.
This is simpler than it sounds, for example in your case, let's say that the custom controls are compiled in EF.Controls.dll. In the theme assembly you need to add a xaml file with build action Resource, named EF.Controls.xaml, that should contain the styles of EFGrid and EFRegion. If the styles of EFGrid and EFRegion are in separate files, the EF.Controls.xaml content should be something like this:
<ResourceDictionary Source="/EF.Themes;Component/Themes/EFGrid.xaml" />
<ResourceDictionary Source="/EF.Themes;Component/Themes/EFRegion.xaml" />
Please, let me know if you need additional information.
the Telerik team