Hi there -
To create a new color theme, open the color theme menu in the color panel, as shown below (tab the arrow button underneath the eyedropper tool to expand the color panel). Tap and hold on the active color in the tools panel, and drag it into the left-most vertical color column. It should have colors already in it, but you can change them by dragging in new swatches.
Then, tap and hold your newly created color column, and drag it into one of the greyed out color columns.
Hope this helps!