In Asp.Net 2.0, you can use StyleSheetTheme in stead of Theme setting to enable design time style in VS IDE.
Just make sure you close and reopen the page every time you change the setting. But one day, I encounter this problem: My style setting show up nicely in design time, but disappear when I run the page. By reading this article: http://www.odetocode.com/articles/423.aspx , I fund that my stylesheet didn't being injected in to the generated HTML at all. As the matter of fact, the whole <head> tage is missing. When I check back my code, I fund that there is a attribute in my <head> - "visible="false". Once I turn it back to "true", everything works like charm.
You can read Scott's article here: http://weblogs.asp.net/scottgu/archive/2006/03/24/Access-to-a-page_2700_s-head-element-using-ASP.NET-2.0.aspx for more fun playing with header programmatically.