Theory: application of names to various devices in music for future reference. Say you are working on a chord progression. If you know the sound of the chord you want next, but don't know how it is made, all you can do is plunk around trying to find the notes you want to use. If you know exactly what the chord you want is, and how it's made, than you can add it in instantly. It goes much the same for pretty much anything- any melody, progression, rhythm, lick, whatever you come up with in your head, you will be able to know exactly what you want. It also makes it much easier to learn songs without needing tablature.
Practise. Work on the Major scale box pattern if you're learning the Major scale. Make modal progressions if you're working on modes.

The only way to hammer it in is to pick up your guitar and play it. Then, even if you forget it completely, your fingers will not.
I know scales and stuff like that. I have been playing since I was 8 (6 years now) but never really went into hardcore theory. How do you practice intervals and the like?
That's the thing. Every time you play a note in scale you're practising the interval between that note and the previous one.

Your intervals for the Major scale are WWHWWWH.