Creating a "Theme" event:
1.  Brainstorm some ideas.  Will it be a color theme you choose, a character theme, etc.?  But go from there.
2. Once you have decided on your theme, think about what decor pieces you would like to see at your event.  Do you want banners, and balloons?  Or centerpieces?  You have to visualize the final outcome.  What is the overall look you want to accomplish?
3.  After deciding how you want the event to look, start thinking of ways you can make the decor without spending money.  First think of items in your home that could be recycled, such as toilet paper rolls, cereal boxes, cans, etc.  You will find that many of these items will SAVE you ALOT of money, all you have to do is recreate them in a way that will flow with  your theme. 
4.  If you have an idea and cannot use anything at home, and absolutely have to shop, I recommend, a craft store such as Michaels, or AC Moore.  I recommend this first because, they offer coupons in their weekly ads.  You can also recieve a bigger discount if you join by email.  They also offer instore incentives with their rewards card.  One more place I would recommend, is The Dollar Tree.  It's a very inexpensive store, and many times, the package contains more than one item, so you're getting more for your dollar.
5.  Give yourself enough time to create all decor pieces.  If you are new to creating your own pieces, I would recommend starting 2-3 weeks prior to the event.
6.  After you have everything made, then its time to setup.  Just make sure your event has "flow" to it.  You want to make this a memorable moment for all who attend. 

I hope some of this information has helped some of you!  If you have any questions, dont hesitate to ask.  : )