I'm also having problems with ThemeRoller, and I don't think I'm doing anything wrong. I even used it successfully earlier in the week. I've tried configuring a custom theme many times in three different browsers, and each time I end up with an image set and css that don't contain any of the customizations (colors, fonts, etc) that I selected. Anyone know if there's a bug in the production version?
Edit: I just tried the ThemeRoller Dev tool in FF, and it doesn't have this problem. It also doesn't let you customize your download, so that's a minus, but it did provide me with correct images and css.