There is a setting in Site Admin > Appearance > Themes > Theme setting called "Allow theme change by URL" so you would need to enable that first unless you plan to add that setting directly in your Moodle site root config.php?
Here is an earlier bit of documentation about the same thing, found further down the document you linked to:
And yes that will work, but it is not automatic, which is what you asked for originally. To achieve the theme change by url, however, you would need to add a link in a course either directly in the course page, per topic even, or in a block on that course page. There are two methods to doing this. The first is achieved by adding ?theme=afterburner (to use the afterburner theme) the other method when incourse so to speak is achieved by adding &theme=afterburner
Anyway, thanks for pointing this alternative method out. I should have directed you to that page in the first place as I am very familiar with it, so my apologies in that regard.
On another related note, I would like to know how the Page theme works, which is also very briefly documented in that same link. I have never really understood the concept, perhaps you might like to play with that as well and tell us how it's done.