It is relatively trivial in the IDE. There are however some "gotchas" with some controls that are not automatically themed, or not themed well - TGroupBox being one of them.
I've had a bit of a look into this myself. It would be relatively straightforward if it were not for the "gotchas" I mentioned above, and for the DpiScaler (part of GExperts) which seems to totally confuse theming of the title bars. Even with "disabling" the DpiScaler, the Grep Search (which is what I use most in GExperts) looks like this when themed (including title bar):
Note how the control to search for text is covered by the title bar, how horrid the TGroupBox controls look, etc. When I started theme support in Codex, I gave up on TGroupBox.
Same form when not theming the title bar: