Funny you should mention that, it's exactly what I'm working on at the moment :)
The UI for this feature is not in yet, but you can already do it manually. Locate your preference folder (http://www.mucommander.com/forums/viewtopic.php?t=443
), it should contain a file called user_theme.xml. That's your self made theme.
Copy that into the themes subfolder of your preferences folder, and it will become a 'custom' theme. My advice is to rename the file to smething like PieterCommander.xml or some such thing. The name of the file, minus the .xml bit, will be used as the name of the theme.
Carefull when you copy that to other computers, though: the fonts your theme is using might not be installed on the new computer.