I think one way to do it would be to create a user-defined counter (say, 'mycounter') and then modify the section and theorems commands to both (1) use that counter instead of the built-ins \thesection or \thetheorem and (2) to automatically increment your shared user-defined counter each time it's used.
I believe the titlesec or secsty packages would allow you to redefine section styles to use and increment your user-defined counter. Not sure about theorems, but I assume there's some package that would let you modify those too.
This is just one approach. Not sure if there's something that would be cleaner or more straightforward. This seems a pretty clean and straightforward method to me, although I would have to review docs on how to use user-defined counters, not sure where it is on the web, I know there's plenty of info in Kopka's Guide to Latex.
EDIT: Sorry, maybe the above is way more than is needed, I don't do math with LaTeX and know nothing about Theorem command/environment. Could it be that you can define a theorem environment that automatically uses section numbering? I'm wondering that after looking at this page: http://www.maths.tcd.ie/~dwilkins/LaTeXPrimer/Theorems.html
EDIT_2: After looking at Kopka's Guide, yes, it does look like you can use \newtheorem command to create a theorem environment that uses the section counter. E.g., '\newtheorem{theorem}{Theorem}[subsection]' would create new 'theorem' environment that uses the subsection counter. Not sure if it then can be interspersed with subsections and have both increment properly and reset at each new 'section', but I expect that's the idea.