The order of proceedings needs to be to change styles, then save changes to theme. If there are no style changes on the layout then there is no need to save any change to the theme, as there are none. Equally, if you have made changes to one or more objects (field, text, button, label, layout part, tab panel, etc) BUT HAVE NOT SAVED THE CHANGES either as new styles or as changes to the default, then the Theme options will be greyed out. The layout will happily deal with this forever, but will warn you if you try to switch to a new theme when there are unsaved changes to the existing one.
And yes, you are right I beleive, Classic behaves somewhat differently from other themes—it is a sort of non-theme—and is best not used as a starting point for a custom theme.
Adding to keywords note about Classic, there are a few bugs that occur on Classic exclusively, so I tend to stray from it, even if moving to a custom theme. As keywords says, it is best to start with one of the other default themes.
Also, when you change a style, then the theme, I have found it best to do this regularly. That is, every time you make a style, save it and then save the theme. You can make changes to style in a batch, but don't leave without changing it.
For example, you can change a field's font, size, field, and padding at one time, but don't leave that field without changing or updating that theme (red inverted triangle) and then immediately save the changes to the theme.
Otherwise, if you leave that field without making changes, there is no UI indicator that you have an unsaved style until/unless you select that object again.