Even though there's no demo for theming one now, you can apply theme colors to a fieldset (or any markup for that matter) by adding a CSS framework class like ui-widget-content to your element. This class will apply the theme's background colors/textures and font color. To apply the theme font family and size, just add the ui-widget class too.
<fieldset class="ui-widget ui-widget-content">
</fieldset>
...from there, you can tweak margins and padding as needed.