If you changed your theme through the Home tab using the Theme Select menu, you can't set your default theme there. Select "Look and Layout" from the dropdown menu of the profile button (or select it from the "Modify profile" dropdown menu after going to your profile). There you'll find the "Current theme" option. Click on "(change)". There, select "Preview this theme" to test it out and "Use this theme" to change it, permanently!
I hope it helps. Oh, and if that did not work properly, please let us know!