Recently I am told by my friend that putting a non-core theme in /themes (the one that contains core themes) is a bad idea and I should instead put it in /sites/default/theme.
Is this safe to simply move the theme folder from /themes to /sites/default/themes? In doing so, will the original settings for the theme be lost?
I am using this theme http://drupal.org/project/sky
But I think it doesn't really matter.
You will probably need to switch theme back and forth or clear the cache to get things working after you move the files, as Drupal will save the location of some of the files.
Your settings and stuff like that is saved in the database based on it's name defined in the code. It has no relation to where you have placed the files, so that shouldn't give any problems. The same goes for modules.
You will want to rebuild the theme cache after the move. The easiest way to do that is to visit the page: admin/build/themes and that should clear the theme cache and relocate the files it is looking for.