How to be more "theory-minded"?
One way I have often found theory problems to work on is by reading about an area and trying to figure out exactly what the state of the art is on a problem.  Invariably, some basic questions end up being left unanswered, and that’s where I will start my research. Such questions are sometimes left unanswered not because they are too difficult, but because nobody formalized things properly, and this is something that can come naturally to a theorist who is just trying to understand what’s known and what’s not. And the ability to formalize problems is a key aspect of doing successful theory.

Another natural way to do successful theory is by trying to solve known open problems, for example those found in the discussion sections of recent papers.  There, the key is having a good enough understanding of your own strengths and interests that you choose problems where you might make progress.  This takes some experience and also some self-awareness, which you can actively think about and cultivate as you go through your PhD.

And as you do your PhD, you’ll develop these skills and more, including the ability to grasp proofs in papers quicker, and if things go well, you’ll be coming up with your own directions naturally by the end.