custom-make-theme-feature is a compiled Lisp function in `custom.el'.

(custom-make-theme-feature THEME)

Given a symbol THEME, create a new symbol by appending "-theme".
Store this symbol in the `theme-feature' property of THEME.
Calling `provide-theme' to provide THEME actually puts `THEME-theme'
into `features'.

This allows for a file-name convention for autoloading themes:
Every theme X has a property `provide-theme' whose value is "X-theme".
(load-theme X) then attempts to load the file `X-theme.el'.