1. Follow the protagonist. Anything she is supposed to learn about herself or a problem is usually an important theme.
2. Look for any patterns or repeating ideas (i.e. Poe's use of heightened senses)
3. Look at the genre - every genre has pre-packaged themes
4. What mistakes must characters learn from, or difficult decisions must they wrestle with?
5. Analyze the conflict (man vs. man, society, himself, nature, supernatural, technology...at the heart of the conflict is often a theme the author wants you to chew on)