If you're developing your entire site locally you need to move not only your theme, but your database as well.
You can move the database yourself manually, and while it's fairly easy to do, I would suggest you check out WP Migrate DB. https://wordpress.org/plugins/wp-migrate-db/
To push from local to dev I think you'll need the pro version, but it's money well spent.
I develop everything locally and push to a staging server. Finally, when everything is good to go, I move to a live server. WP Migrate DB has saved me a lot of time.