Themida adds protection code to keep your application fully protected against cracking. The protection code that is embedded into your application has about 500 Kb in size (depending on the protection options that you select). So, if you have a 50Kb application and our compression engine decrease it to 10Kb, the final protected application will be 10Kb + 500Kb in size. That’s the reason why you see your final application with bigger size.
Suppose that you have a 4000 Kb application and the compression module compress it to 2000 Kb, the final protected application will be 2000 Kb + 500 Kb = 2500 Kb, so you can see here a decrease in the final size of your protected application.
Please, go to the "Virtual Machine" panel and select a lighter Virtual Machine (like FISH (White)) to make your protected application smaller. Depending on the selected Virtual Machine the final application size will be affected considerably. In the "Virtual Machine" panel you have some statics about the size/speed/complexity of each specific Virtual Machine.