Advanced Forum has some default themes which are located @ sites/all/modules/advanced_forum/styles/<theme>.
Naked/Naked Stacked themes could be used for customization. So copy the .tpl.php which you want to customize in the sites/all/modules/advanced_forum/styles/naked folder to your theme folder.
For example, i want to customize the advanced-forum.naked.author-pane.tpl.php.
1. Copy advanced-forum.naked.author-pane.tpl.php to the theme folder.
2. Rename it to advanced-forum-author-pane.tpl.php.
3. Edit it to start customization.
Reference: Template overriding broken?