Theano does not create any configuration file by itself, but has default values for all its configuration flags. You only need such a file if you want to modify the default values.
This can be done by creating a .theanorc file in your home directory. For example, if you want floatX to be always float32, you can do this:
echo -e "\n[global]\nfloatX=float32\n" >> ~/.theanorc
under Linux and Mac. Under windows, this can also be done. See this page for more details:
http://deeplearning.net/software/theano/library/config.html