How to make alert for new version on theme options?

see:

http://clark-technet.com/2010/12/wordpress-self-hosted-plugin-update-api

Basically the idea is to hook your update checking function to the pre_set_site_transient_update_themes filter. The version array key you return from this function will be compared by WP to the current theme version from style.css….

Use the admin_notices action to make your alert message more noticeable