While modifying fonts is relatively straightforward, other things aren't as apparent -- such as changing the background of a slide. Doing this requires you to click on "Inspector" and choosing the "Master Slide Inspector" pane within it. There, you can change the slide's background to any color, gradient, image fill, and tinted image fill. The inspector is also the home to other goodies that can help you fine tune your template even more, such as changing the resolution size.
After you're done creating your template, make sure you click on the "Save Theme" option instead of "Save" or "Save As," as the latter two will result in your file being saved as a Keynote document rather than a theme. The path for your personalized created Keynote theme is ~/Library/Application Support/iWork/Keynote/Themes, while Keynote's default themes are hidden deep within the app. Getting to it requires you to click right-click on the Keynote icon in the Applications folder and selecting "show package contents," where they'll be listed under /Resources/Themes.
After you've saved your newly created theme, it will be shown in Keynote's theme chooser. But if you find the theme chooser annoying, and would like to have the theme you created as the default theme displayed when creating a new document, you could do that as well via a change in Keynote's preferences.
One last note: as Keynote opens PowerPoint
files natively, you can also open and edit PowerPoint themes and save them as Keynote themes.