There is no built-in feature for setting separate theme preferences for each wiki. However, you can set your theme preference to use whatever the wiki's default theme is. Note that if you use the built-in theme toggler, this will set your preference to whichever theme you are changing to and you will have to go back to Special:Preferences to reset it back to using the wiki's default theme.
If you want to be able to toggle themes without changing your preferences, you can use either ThemeToggler or ThemeSelector. ThemeSelector allows you to set a default theme via personal JS so it could be used as a hacky way to set separate theme preferences for each wiki if you really really wanted to. However, using that way is not exactly recommended. The page would still load using your global preference and would change to the local preference only after the JS has loaded and finished running.
