The first thing to say is that no-one has the rights to the concept of theory. Drawing on the earlier section What is theory? define theory on your terms. Of course you cannot simply make up a definition that suits you and you along, try to relate your stance to key issues such as:
how your use of theory is an attempt to abstract something from the data (a model, a rich description or conceptual category)
How your use of theory helps you relate your work to a discipline or interdisciplinary tradition.
How your use of theory provides explanation (this of course need not be causality)
How you worked to a theory of inquiry and analysis
Try to define your stance in respect of great debates for example is there in your view a space for grand theory?, should theory be practical, should theorising be deductive or inductive etc.
If anyone tells you you have a great thesis but an undertheorised one, ask them to explain what this means and the ground sfo which their version of theory is to be privileged.
A useful text is
'Theory Anxiety' by Thesis Whisperer
This blog post by the ever wonderfully resourceful Thesis Whisperer offers some simple ways to think about the incorporation of theory into your own thesis, including links to relevant texts and ideas. The Comments section is also worth a look to find ideas shared by others in your discipline, as well as more suggestions for your literature search.