At the bottom of the theme manager panel there is a blue plus button that provides actions for the selected theme. One of these actions is to "Set as Global Default" which opens a dialog to tick the item types the theme will be used as the default.
Tick the item types (e.g. song items) and press Apply and then when you add a song to the playlist it will use that theme as the default.
You can also set a theme default for a specific song which applies in preference to the global default. When editing a song, on the right side "Presentation Options" panel there is a Default Theme drop down where you can select the theme to use for that song.