I would suggest you to check the setting a theme and the switching themes at runtime articles. If you want to allow the user to save the currently applied them in the application, you can use different approaches, but basically you will need to save information that tells what is the current theme and then load it when necessary.
For example, you can save the name of the themeas a string on the file system. The name can be saved in a local file in your application's directory, the isolated storage a database, or whatever storage you want to use. When you need to load the theme, you can get the name of the theme and use the approach from the switching themes at runtime article to load it.