By design, there's no official way to do it. Like I said earlier, since User Controls can be used anywhere, including pages that have their own theme set, overriding anything set at web.config level, there really is no way for VWD to tell what theme it should look for and apply.
However, you can simply add a <link /> reference to one of your stylesheets in the UC. Add this to your User Control, for example right before or after the embedded <style> element
<link href="../App_Themes/DarkGrey/DarkGrey.css" rel="stylesheet" type="text/css" />
Now you'll get IntelliSense in the UC. The downside of this is that the file also ends up in the browser. possibly messing with your other styles. To stop that from happening, wrap the <link /> element in a pair of server side comment tags. VWD still sees the reference, but the link won't end up in your browser:
<%--<link href="../App_Themes/DarkGrey/DarkGrey.css" rel="stylesheet" type="text/css" />--%>
Hope this helps,