I'm able to guide you with step by step creating a Sitefinity theme. (most of this information can be founded in Sitefinity website documentation.)
There is a fully detailed Sitefinity documentation for beginners, here is the link for creating a new theme using Sitefinity Thunder:
Once you follow these steps you can see your theme at :
SitefinityWebApp > Sitefinity > Website Templates > Your_Theme_Name
PS: all your custom css files go under Global folder and you have to reference it appropriately in the cssLoadOrder.xml
In this step you need to create a master page in your root directory and master page will be the holding the base to your template/Theme .
To create one right click on your SitefinityWebApp > add> new Item: under Visual C# >web >Web Forms masterpage ( this could be named Differently according to the Visual studio Version) create your master page and give it a name if you like.
Step 3:
You need to create a another folder call App_Master folder under same level as App_Themes so it will look like this.
Drag and drop your master file in to the App_Master Folder.
You can get an Idea of how the master page looks like by referring to this article :
Normally all your js ,favicons, CDN's file or any other file references goes in the master file as these files cannot go inside the theme so you have to put them under the sitefinityWebApp root folder.
Follow this documentation to apply your newly created theme to your website.
I hope this will guide you in the right direction and plase let us know if you fall in to any other issue.