How to embed a custom content type in a Drupal 7 theme?
That's correct (answer below) -- you can't embed content types in your theme, however, you can create custom modules that users can install to have a content type you've created available.

If you are new to Drupal, and do not write your own modules yet, you can use the Features module to create custom content types on your site, export them to a feature via the Features module, and import them to any number of sites.

Using the features module can be a little confusing at first, but there's lots of additional documentation and tutorials online.  I'd start with the module's documentation page first: http://drupal.org/node/580026.  :-)