I just responded to a similar question (more detail on the theme part) .... basically, you need to use the terminal to use most of the SDK functionality.
if you're just developing a theme, you'll need to have the sdk and one of the server bundles downloaded. put them in the same folder so you end up with something like
liferay/
liferay/tomcat (holding the tomcat bundle)
liferay/plugins (holding the plugin sdk)
liferay/deploy
then configure the .properties file .... create a file in the plugins folder and name it
build.[YOURNAME].properties ....
run this in the terminal window ... note the backtics aren't apos.
touch build.`whoami`.properties
edit the file and add these lines ...
app.server.dir=${project.dir}/../tomcat
auto.deploy.dir=${project.dir}/../deploy
then in the tomcat folder edit
tomcat/webapps/ROOT/WEB-INF/classes/portal-ext.properties
and edit / add the following line
resource.repositories.root=/path/to/liferay
auto.deploy.dest.dir=/path/to/liferay/deploy
.... to start the server change to the main folder and enter
tomcat/bin/startup.sh
you can watch the server's log by typing
tail -f tomcat/logs/catalina.out
Check my other post for all the CSS and THEME stuff ....
http://stackoverflow.com/questions/2080314/need-to-change-template-styles-in-liferay/2250275#2250275