Understand the main character. Analyzing the main character is an important part of discovering the theme. List the physical and intangible attributes of the main character. Decide if the reader is supposed to identify with the main character or if she is someone the reader doesn't (or shouldn't) want to be.
Identify the conflict. The conflict in a short story always involves the main character. The conflict can be between the main character and another, society or some force of nature, or within the main character himself. Figure out specifically who or what the main character is struggling against in the short story.
Know how the conflict is resolved. The resolution of the conflict can give the reader a big clue as to the theme of a short story. Who wins the conflict is the writer's way of telling the reader which force was better. If an evil main character, one you wouldn't admire, wins out over some force of nature, the theme will have a negative slant.
Make a generalization. Look at the main character, her conflict and how it was resolved to determine the theme of the story. Start by understanding what the main character learned in the short story. Then, generalize that lesson to apply to everyone. If the main character learned not to trust her friend who just won the lottery, the theme of the short story may be that money changes people.