Develop a central theme before you begin writing the story. It doesn't have to be stated or overt. It is important to establish a theme before your story branches out into several sub-themes.
Weave your theme through the thoughts, speech and action of your characters. If the central theme is about broken families and domestic abuse, the main character may be a victim and the supporting characters may be stereotypical representations of alcoholic parents or rebellious siblings. If your theme is about how broken families do not result in disaster, then your characters may break stereotypes.
Write about contrasting societies and generations. A historical piece often focuses on cultural differences and the way one event in history changes the culture and the life of the characters. These culture changes may also alter your character's values. When writing a short story about the Holocaust, how did these traumatic events change your character's values and relationship with Jewish or German culture?
Repeat ideas to gradually state and reinforce your theme. In many pieces of fiction, the theme is not immediately obvious to the reader. If you want the reader to understand the theme, but do not want to blatantly state it, use imagery, symbols and cultural items to slowly introduce it. If you are writing about a Native American character living during the settlement of The West, use the symbol of disappearing buffalo to represent the disintegration of the Native American culture.