If you run the client version of DX you can also configure DX to save your current theme automaticly

go on system tray icon right click "configure DX" -> "Preferences" -> "Do not ask for saving the theme"
If you run on the Standard version of DX switch to DX builder make your change, go to system tray icon, right click on it, "save theme as..." and enter the location (by default it's in the "Themes" Folder of DX) and the name of your theme like that for example:
C:\Program Files\Stardock\Object Desktop\DesktopX\Themes\
my desktopXtheme.desktop