People seem to know how to make KDE 4 themes and they have made so many great and beautiful themes for it with glass and translucent effects and all these nice things. But there is usually something that i would like to change about that theme or even make my own KDE theme. I'm just wondering how do people do that...

Depends on what you want to make it for..... there are many elements that make up the KDE 4 desktop.
There are:

• Plasma Themes
• KDE Colour Schemes
• Qt Styles
• KWin window decoration

KWin window decorations and Qt styles have to be written in C++. KDE Colour Schemes are "knsrc" text files listing the appropriate colours. Plasma themes are a collection of Svg elements used by Plasma.

KWin window decorations and Qt styles have to be written in C++.

Not necessarily.
There is deKoratorfor windeco and QuantumStylefor Qt styles. But they are not ideal solutions.