Using Theme Roller
Use Theme Roller at http://jquerymobile.com/themeroller to define your own theme without coding CSS directly. Even if you want to manually custimize the theme, this will give you are css file to use as the starting point.
Using the theme on your page
Include the theme css file after the default jquery mobile file:
<link rel="stylesheet" href="http://code.jquery.com/mobile/1.2.0/jquery.mobile-1.2.0.min.css" />
<link rel="stylesheet" href="my_themes.css" />
<script src="http://code.jquery.com/jquery-1.8.2.min.js"></script>
<script src="http://code.jquery.com/mobile/1.2.0/jquery.mobile-1.2.0.min.js"></script>
The set the them to be used on you pages, headers and footers:
<div data-role="page" id="Page0" data-theme="a">
Feel free to comment if you can add help to this page or point out issues and solutions you have found. I do not provide support on this site, if you need help with a problem head over to stack overflow.