You will then be able to experiment to your heart's content without messing up your real blog.

http://en.support.wordpress.com/moving-a-blog/

And you make it sound so easy. What do you actually save to your flashdrive? Correction, HOW do you save headers, etc. to your flash drive? If anyone happens to be passing through South Africa, you're welcome to pop in and work with me for an hour or two......?
:-)

You are certainly not the only one who has accidentally activated a theme while intending to preview it. I've done it numerous times. Luckily, it's quite easy to recover from. Usually, when switching themes the widgets will just flow into the widget area of the new theme. If for some reason it can't do this the widgets end up in the "Inactive" area on the Appearance -> Widgets page. You can just drag them out of there and into the widget area you want them in.

One hint that might be useful: I have a Blogs folder on my flash drive with subfolders for each of my two blogs and, for the one blog whose settings I fiddle with, another one for headers, thus: Blogs\Flaming Catheads\Headers In that Headers folder I've got all the versions of headers I've created for the blog, along with the original images I based them on. That way if anything ever happens to my header, or if I want to go back to an earlier version, I know right where to find it. Your question makes me think I should similarly jot down and store the various dashboard settings I've done.

I'm sorry I didn't post my URL http://www.susanparadis.wordpress.com

What happened was I was looking at the new themes and wondering how mine would look. But instead of selecting preview, I accidentally selected Activate and I activated a new theme.

So in a panic I wondered if there is a "go back to previous theme" selection. I couldn't find one. So I went back to my old theme and recreated it. Everything was saved thank goodness in the widget section, but it took me about an hour to figure out what I had before and to find a put my header back in. Is that the right way to go about it? Am I the only person who has accidentally activated a new theme?

@Susan
I this is the blog in question http://susanparadis.wordpress.com/ then it's wearing the K2 Lite theme then I am viewing it using Firefox 3.6.8 and I see your header. The widgets will be found in your "Inactive Widgets" box here > Appearance > Widgets

You can change theme here and note that the theme your blog is wearing will NOT be displayed among the choices you can make as it's already activated. > Appearance themes. You can use the search utility and Feature Filters in your Dashboard > Appearance > Browse Themes > Feature Filters to locate themes of interest to you. (A-Z, Popular, Features)

Each theme has a thumbshot and a features summary description. You can browse and when you find one of interest you can click “Preview”. When you are ready to make your selection you can click “Activate”.