Study other short stories for ideas. In Shirley Jackson's "The Lottery," the theme concerns blindly following tradition despite the end result. Nathanial Hawthorne's short story themes involve sin and redemption. Many of Guy du Maupassant's short stories, such as "The Inn," have insanity as a theme.
Develop your characters before writing the story. Think about a subject you'd like to express through them and weave a theme around that, like unrequited love, developing self esteem, individuality or fighting evil.
Write a story and then find the theme. Sometimes streams of conscious writing can produce a powerful short story theme, as it exposes what's in the subconscious mind and releases it unfiltered onto the page. Go back and read what you've written and decipher the story's theme.
Think about the feelings you want to impart in the story. Short stories can inform, frighten, touch or amuse readers. Devise a theme based on an emotion like love, longing, power or revenge. A short story theme can also be political in nature and deal with the environment, technology or anything that impacts mankind and its results.
Choose a simple theme and then expand on it. The subject, or theme, of your short story can be small town sports. As you continue writing, you can grow the story theme to something more specific, like how a successful sports team changes a small town's humble character.