The short answer: a Themes & Sentiments list is exactly what it sounds like; a list of themes and sentiments that relate to the things you craft about.
The list becomes a handy tool when sorting, organizing, and storing your crafting supplies.
Lists will be unique to each individual crafter.
Tips for creating your Themes & Sentiments list
If possible, create your list in a computer spreadsheet program like Excel. This will allow you to easily sort the list alphabetically. When creating a list in Excel, use the first column for the main themes, then the following columns for "sub" themes. After you write your list, use the sort A-Z function to put your themes into alphabetical order.
Combine appropriate categories
After creating your list, consider which categories you might be able to combine into a single category. If you have football, basketball, and soccer as individual categories, create a main category, "Sports", and use the individual sports as subcategories.
How to determine when to combine & create sub categories
Your goal with this list is to keep things together you use together. In the sports example above, there is a strong likelihood that each of the products in the individual sport collections would also have some components that could work for other sports. You might have stickers that say "Go Team", "We're #1," etc. in a football collection, but they would also work for soccer or basketball. Sports is a natural for creating a major category and sub categories.
Another example - you might have separate categories for Pets, Zoo, and Farm. Depending on where you live, what type of pets you have, and what types of crafting you'd use these for, these might combine well into a major category called Animals. But if you think of your pets as family members and have all your pet items in your Family category, unless you have a zebra or elephant as a pet, it's unlikely that you would use "Pets" and "Zoo" together, so keeping them separate might make the most sense.
Bottom line, it's how YOU think of these subjects and how you would use them. Keep together what YOU would use together.