The theme is commonly understood as "the main idea of a poem or story." This one is a bit complex because it's commonly understood that these main ideas can usually be expressed in one word. The poem is powerfully about two things: (1) first love/date and (2) nostalgia. The two see equal in power to me, even complementary.
Consider: Throughout the poem, two kinds of "opposites" are compared:
- The colorlessness and cold of the surroundings with the color and warmth of the occasion. The narrator emphasizes the frost, the cold, the fog, and "the gray of December" and contrasts that with how the "Porch light burned yellow," how his girl's face was "bright / With rouge," and his orange, which was so bright that "Someone might have thought / [he] was making a fire in [his] hands." Note, in addition, that the colors he chooses--red, yellow, orange--are considered warm colors, something he emphasizes with his last line. The implication is that the occasion and his "girl" brought color and warmth to his cold and dreary world.
- The old with the new. When he takes her to the store, he leads her "across / A used car lot and a line / Of newly planted trees," where we pass the old and used and then a line of young trees, about to grow up. The adulthood and compassion of the saleslady is inherently contrasted with the youth and hope of the children (note, however, that the narrator does not hint at anxiety; he already seems mature in how he deals with the situation, not panicking or complaining when his "girl" chooses a chocolate he cannot afford; instead, he pays for it with a nickle and an orange, which is clearly not a prearranged deal, but his gamble works). Even in his memory, the "Fog [was] hanging like old / Coats between the trees," an image from the memory of a much older man.
In addition, he returns to the idea of the transience of life and experience, which also emphasizes the theme of nostalgia. He begins the poem with "The first time I walked with a girl," suggesting that there have been many times and many years in the interim. As he walks to her house, his breath is "Before [him], then gone," like life itself.
The brightness of the orange against "The gray of December" emphasizes how special this memory is to the older man, who has by now known love (and perhaps lost love) more than once by this point. This idea contributes to the theme of the naive hope and promise of first love.