After you have manually started your custom theme it will appear in personalization as an unsaved theme, see fig 1. Right click on the unsaved theme and click the Save theme dialog, Fig 2, then enter a name for your theme in the Save as dialog box, Fig 3 and click save.
Note: anytime that you make further changes to an existing theme the above steps will have to be repeated.
Also check to see if your custom theme is saved to C:\Windows\Resources\Themes.
Also How to Change or Save a Windows 7 Theme