Firstly not sure how you did this in SharePoint Designer, not being a SPD person myself, when I tried it just opened a link to the Themes editing page in the browser on the site.
But presuming there is a way, it most likely saved your theme into the Theme Gallery, this is in Site Settings under the Galleries Section.
Having checked that Gallery section and not having a specific name of a Theme selected and there is one Theme in their I do not recognise then it is likely that the Theme of "Themed" is the Custom Theme you have generated.
However Clicking on the "Themed" link does not provide you with a thmx file. All its components are folders and files subordinate to that theme.
This manner of creating themes is probably not the best way to approach Creating a new theme.
Instead if you Start with one of the Themes that are already defined (not default) and Save that thmx file by clicking on the link in the Themes Gallery then you can save that file.
That thmx file can be editing by PowerPoint and resaved, I find this extremly cumbersome tool to use for theme editing.
I edit my themes using the Theme builder from Microsoft instead. https://connect.microsoft.com/ThemeBuilder once resaved that thmx file can be loaded into the Themes Gallery and selected.
If you want this Theme on lots of sites, then it is more likely you will want to package it as a feature and have it copy and set the theme on feature activation, but thats another post.
Here is a blog post I just found about editing themes as well.