First post and beginning the long haul of writing up my thesis

I was wondering if you could help me.
I am writing the chapters seperately in different files and then trying to use the '\include{chaptername}' in a main tex file to make my code clear. But I am running into errors.
here is the main code :
\documentclass[a4paper,12pt]{report}
%\usepackage[adobe-utopia]{mathdesign}
\usepackage{pxfonts}
\usepackage{graphicx}
\usepackage{fullpage}
\usepackage{setspace}
\usepackage{epstopdf}
\begin{document}
\include{TheoryNew}
\end{document}
The TheoryNew.tex is in the same folder as the main tex file. Do you need more info ? Any suggestions would be awesome