You must copy 'modules\asa' folder as well.

Step 12 above states: "Those files and folders are the only ones you need. Do not copy any others from ThemeModules.war. "

It appears that this is not correct. At least, it didn't work for me. The first time I rendered my custom theme, I got the following exception: "JSPG0036E: Failed to find resource /modules/asa/jsp/asa.jsp."

So make sure you copy the 'modules\asa' folder into the 'WebContent' folder of your custom theme too. That will resolve this issue.