The relatively new RadDock control is currently not supported by Visual Style Builder for creating custom themes. The example that you follow concerns the old DockingManager control and this is why the custom theme is not available for RadDock. You will be able to create custom RadDock themes in the new Visual Style Builder that we are developing as we speak. It will be released in Q1 2010.
If you have additional questions, feel free to contact me.
the Telerik team