I hardly ever think about theme when I'm writing a story. When I start out with a character, I have no idea what that character is going to do. The story eventually comes to me but I'm about three or four paragraphs into it when that happens.
I'll then realize that I'm making something of a big deal about this character, whether it's a good deal or bad one. Then I become attached to the character and want to do more with him or her. I want them to do great things or I want to sacrifice them in some way. Then I start compiling ideas on how I can make the story mean something more than just being about this character I developed.
I look at theme as an overall mood that is reflected in the process of building your story. I can go hours with doing nothing but think to myself. My husband will ask what I'm thinking about and I have to tell him that I cannot possibly relay to him what I'm thinking because then I'd have to go through the painstaking process of explaining the thousand thoughts that led me to my current thought.
That's what I feel about themes. What you have is just a process of all things leading up to where you are in the end, or when someone stops you and asks you that question, "What are you thinking?" It's the same as asking, "So, what's the theme?"
I write so that I don't have to explain my thoughts, I can just say go back and read what I wrote because I can't tell you what I'm thinking now, let alone what I was thinking when I wrote what I did. It will just frustrate me!
Writing keeps me sane. That's always going to be my theme then, "What is Sanity?" It's in my writing, can't you see it?