jtb: right click on object -> export

You'll then have 3 choices, export as:
- a packaged object (.dxpack)
- a widget (.exe) (needs DX installed to run)
- an application (.exe) (doesn't need DX installed)

Standard version of DX will only allow you to do the first two. If you click the third option, it will propt you to purchase DX Pro.

Note that a theme isn't the same as a packaged object, but can be very close. Theoretically, a theme has the dxtheme extension while a packaged object has the dxpack extension. Nevertheless you can group a whole bunch of objects together and consider them as one single object with a dxpack extension. If you drag you ion to engroup all your objects on your desktop and export, you can export them all together as one object.  A theme is different, as you save it with the "Save theme as..." ion.  Only the Enterprise version will allow you to save a theme as an exe.  Note also that a theme is a bit more than just a bunch of objects. It can include a wallpaper, have specific labels and font properties, it can specify weather or not the desktop icons or the taskbar are visible, it can include IconX settings, and also a bunch of security options...