Right after you apply the new theme, hit CMD-Z. Any objects you have customized should flip back to your custom look, while objects that have not been customized will retain the new theme. If you totally hate it, hit CMD-Z a second time and you will revert to your pre-theme-change look. On the other hand, if you want a custom object to take on the characteristics of the theme, use the 3rd of the 4 buttons in the top ("Style") pane of the appearance inspector (View > Inspector > Appearance). When you hover over this button the tooltip says "Apply theme styles to one or more objects.".