Theme files are generally simple HTML files, although they may contain PHP code, that you can customize to match your proofing site to your primary website.

One warning before you start creating your custom theme.  You should not directly edit the files in the basic_white folder.  This folder contains the default theme and it needs to be complete even if you are not using it.  To create a copy of the Basic White theme to customize go to the Options -> Theme page in the ProofBuddy administration panel and enter a name for your new theme in the box labeled 'Create New' and then click on Create.   This will copy the Basic White theme to a new folder ready to be customized.