There are platform specific guides for building Audacity: http://wiki.audacityteam.org/wiki/Developer_Guide
To work on the current development version, download the source code from svn (details in the guides).
Note that the theme code has not been touched for quite a while, and was incomplete even back then. I've not tried enabling theme support recently so I don't know how well it will work. I'd suggest that you try building without theme support first just to check that your build environment is set up correctly. If that looks OK, rebuild with theme support enabled.
See the file Experimental.h for enabling the experimental theme support.
There is some additional information here: http://wiki.audacityteam.org/wiki/Theming_HowTo
Regarding the style, there is no great enthusiasm among the developers to radically change the current style, and many users like the "retro" feel. Until theme support is revisited, updated and completed there are not likely to be any radical changes to the appearance of Audacity. Having said that, themes were a popular feature when it was briefly available in an old beta version so I think it would be good to revive interest in this.