There are a lot of ways to set up a WordPress theme. As a designer, my first instinct is to open up Fireworks or Photoshop and start designing a custom theme. After that, I cut it up into CSS and HTML. Then, I bring it into WordPress and convert it into a fully functioning blog and CMS. This however can take up quite a bit of time and money depending on your knowledge of HTML/CSS. That’s why many designers have begun to rely on premium WordPress themes to get their work done faster.
There are a lot of WordPress theme sites out there. If you haven’t checked out Elegant Themes already and are an avid user of themes than I would definitely suggest that you take a look.