The definition of theory is:
In mathematical logic, a theory (also called a formal theory) is a set of sentences in a formal language
So, if i use the First Order Logic formal system, a theory is practically an instance of senteces obtained using the First Order Logic formal system. So, i can create infinite many theories using this formal system. Is it that correct ?
Yes, although I have seen some texts (e.g. Boolos and Jeffrey) define a theory as not just any set of sentences, but a set of sentences that is closed under logical consequence, i.e. every sentence that is a logical consequence of that set of sentences is contained in the set.
Either way, there can be an infinite number of possible theories. For example, the language of first-order logic is typically assumed to have an infinite number of predicates, and thus for every 1-place predicate $P$ you can consider the theory $\{ \exists x P(x) \}$ (or the (infinite) set of all sentences that are consequences of $\exists x P(x)$), and since for any two different predicates $P$ and $Q$ the statements $\exists x P(x)$ and $\exists x Q(x)$ are not logical consequences of each other, you immediately get an infinite number of different theories that way.