If it reads "Unsaved Theme", any customization will be lost when you pick another theme. Optionally right-click on it and choose "Save Theme" - saved themes are always at the top.
Tip: to download and install new, official and free themes from Microsoft, click on the "Get more themes online" link at the bottom of the "My Themes" section (or click here).
Tip: to restore your sounds, click on the "Sounds" button at the bottom of that same screen; pick a choice from the "Sound Scheme" dropdown in the dialog that opened; click "OK".