This PowerPoint (24 slides with 3 short stories) explains how to find the theme of a story and how to select the textual evidence that supports the theme. I have found this very effective with my middle school students. I would recommend this for grades 5-8.
This lesson not only explains the definition of theme, but it also explains what the theme of a story CANNOT have (names, a too-specific focus). It also helps students understand how to choose the supporting evidence for theme.
Be on the lookout for my follow-up lesson, Theme: Lesson 2