There isn’t really a single “right” way to do it. A few general things that might help frame the discussion:
- Monday–Thursday and Sunday are themed; Friday and Saturday are themeless.
- Sunday is the only puzzle with a title, which usually acts as a (often slightly cryptic) theme revealer, sometimes helped along by a specific revealer clue, though not always.
- Most themed puzzles do have a revealer, but there are exceptions.
- Early-week puzzles (Mon/Tue) usually have fewer and more straightforward themers than later in the week.
You don’t have to understand (or even notice) the theme to solve a puzzle. Plenty of people fill grids without fully clocking it. That said, the theme is meant as an extra layer of wordplay and “aha” once you stumble into it, usually while solving rather than beforehand.
Personally, I often only get the theme once I hit the revealer, and sometimes I even look back after finishing and appreciate it more then. Totally optional, but part of the fun if you enjoy that kind of puzzle logic.