Can you make your own theme?

Yes, my previous theme was a combination of about 7-8 different themes in one. How you do it depends on what you have installed in terms of themes. There are icon themes, UI themes, lockscreen/springboard themes, etc.

What I did was combine my UI theme and icon theme into one. Since the UI theme has lots of components that intermingle with other apps, I simply copied all the UI theme images into their respective app folder in my icon theme. Next came the addition of my misc theme which had things like wifi/signal themes, carrier logos, battery percentage and sounds. Those were all copied into the respective folders of my icon/UI theme.

It'll take some time to figure out but, basically, you just need to copy all the goodies you want into the correct folder. Once you've determined how each is setup then copying them over will be easy.