How do I create a jQueryMobile theme?
Is it overriding the CSS the best way?
The best method for creating a theme is actually modifying the existing one. Just like Jquery Mobile have done with their "Valenica" Theme. Use the standard css as a starting point / reference
http://code.jquery.com/mobile/latest/jquery.mobile.css
Often the best way to work out which elements need the styling tweaks is to inspect them via Firebug
Its also worth noting, its not a great idea to try and create a theme from scratch, as a large part of what makes jquery mobile so great is the cross browser testing and developments they have already made to the css.
Update:
In the near future there will be a jquery mobile theme roller, you can track its development at github.
https://github.com/jquery/jquery-mobile
Update 2
The theme roller is ready!