Winstep themes have always separated 'content' from looks - this was unique to Winstep for quite a while and meant that Winstep themes were screen resolution independent, for one.
If what you want is a way to 'save' your current configuration for yourself (which includes dock contents, icons and current theme being used, etc...) simply use the Backup option in the Advanced tab of Nexus Preferences. This will not move or copy your icons into a theme file (i.e.; it is not intended to be used as a way to distribute themes) but will allow you to quickly switch between different dock configurations and settings (provided the icons, theme and dock shortcuts still exist in the same location when you Restore, of course).
