Themes are a way to organize your Findings page. You can add a Theme to any Finding (multiple Themes coming soon!) by simple clicking the "Add theme" button on the Finding.
Once you've added a Theme, you'll note that a filter view is created for each Theme under the Findings page. By clicking on that view (or any Theme on a Finding) you'll see only the Findings belonging to that Theme.
Themes are searchable and will show up in a separate column of any CSV export you do for your Findings view.
Limitations
It is currently not possible to add more than one Theme per finding, but this functionality is coming soon.
The main purpose of Themes is to help you organize your Finding view for each project. Themes are not saved in a list or tree that can be used across projects. If a Theme is no longer associated to any Finding, it is removed from the project list and you'll have to recreate it.