According to personal experience and Microsoft documentation, when an aspect of a theme (wallpaper, border colour, etc) is changed in the 'Personalization' screen of Windows 7, a theme called Unsaved Theme is supposed to be created/exist under the 'My Themes' heading.

However, my 'My Themes' section is always empty, and if I change the background by clicking on the Background link at the bottom of the Personalization page, the background changes, but it still shows 'Harmony' as the selected background, and no 'Unsaved Theme' is created. I have no idea how long this has been happening, but I would like to create some themes, but it never acknowledges my changes as it is supposed to.