It depends on what version of Delphi
you're using. IIRC pre-Delphi 6 you
need to add the needed manifest by
hand. D7 and later has a component
that need to be dropped on a form to
add theme support (it simply adds the manifest), until D2007 IIRC
added a simple check in the project
options.
Earlier version of Delphi won't show themed design form. You will see themes only at run time.
Not all controls may support themes. Themes require the proper draw API to be called, if a control doesn't comply it won't be themed. The standard grid is a good example, it isn't draw themed until a late version.