The FAQ says:
The theme you were previewing must be a complete theme, i.e. must have “wp_head();” and “wp_footer();” in header.php and footer.php respectively. If they were missing, you can add them yourself. Open header.php, add <?php wp_head(); ?> before </head>. Open footer.php, add <?php wp_footer(); ?> before </body>.
So make sure you have both of those on your theme as it works perfectly for me.
