How do I style my existing radio buttons into the themed radio button?

I'm really interested how anyone could know this. There's no hint at the demo page ThemeRoller demo page, even looking at the HTML source (http://jqueryui.com/themeroller/)

There's no real indication at the main doco site (http://jqueryui.com/docs/Theming/API)
The only clue I get from that, after reading the whole page is that maybe by just wrapping any div container with '.ui-widget' will do it.

At the ThemeRoller site, the main container even had the classes ui-widget ui-widget-content ui-corner-all
So I tried this, I got nice rounded corners and the font on my buttons went bigger, but radio buttons and buttons weren't styled any differently - and by this I hope to assure you that while I am stupid, I do know enough about html/css etc to get this working (and write jquery etc).

Apart from help, I'm really interested as to how anyone else can figure this out from the doco.
How, exactly, dumb am I?

Is there something really obvious that I'm completely missing?
How can anyone download a jquieryui theme and have any idea how to get the styling to work (in my case pepper-grinder) to work for radio buttons and buttons? I'm clueless.