You can do this today using the Favorites feature. When you find a theme that you like, click on the Add to Favorites button (it's next to the Download This Theme button). You'll see that on your MyKuler section of the site, you can choose to view all of your favorites.
Thanks for pointing that out, Mordy! Hadn't noticed it since I was primarily using the AIR app. I can't seem to create favourite themes using that as far as I can tell, so I'd love it if they could bring that functionality to the Kuler Desktop client.