Unicode Hex Input keyboard layout
You can addBasically, the Unicode Hex Input keyboard layout allows you to enter any character by typing its hex code while holding the ⌥ Option key.
It can be added in System Settings > Input Sources.
The hex codehex code for theta (θ) is U+03B8. So, to write theta (small - not capital), type 03B8 while holding the ⌥ Option key.
Additional info
The hex code for the capital theta (Θ) is U+0398, so typing 0398 while holding the ⌥ Option key will write it.