The last step is compressing all the files into an archive. You should compress your Theme into a .tar.gz (gzip) or .zip (zip) file, with the files and directories inside your Theme in the "root" of the zip file. This means that your archive might have contents similar to:

• index.php
• index.template.php
• images/
• css/
• scripts/
• theme_info.xml

Important is that these files are not in a subdirectory inside the archive. You can test this by extracting it to a directory and checking to see if the files are in that directory itself, or in a directory under that directory. After this, you're done. A little complicated, perhaps, but it's a lot easier the second time. Good luck!