There are lots of website out there full of free preschool theme ideas. My favourite is:

http://www.preschool-plan-it.com/preschool-themes.html

I don't think it is necessary to have to buy premade learning materials, it isn't necessary to have worksheets for children to learn. Hands on activities, sensory experiences are the best way kids learn.

Don't know if you do it, but you can include a circle time in your day where you read a story and sing songs, etc. It can relate to whatever theme you are doing.