Thanks for your kind words and interest in DTS!
Per your question.. this is an inherent issue in WordPress itself; that you can not assign widgets to an inactive theme's sidebars. For instance, if your desktop theme is activated, you can not add a widget to the handheld or tablet theme.
To circumvent this, I recommend creating an identical sidebar in each theme, and adding both DTS widgets to that new sidebar. This way, both themes can see and use the same sidebar. Doing this would require having the identical register_sidebar() function in both themes, and likewise, having the same dynamic_sidebar() in both as well, to display the sidebar.
If you're using a pre-made theme this may prove difficult, so you may find it easier to simply display those links with the DTS functions instead of the DTS widgets. You can see an example of this here: http://wordpress.org/extend/plugins/device-theme-switcher/faq/
Let me know if this makes sense, or if you would like a further explanation / assistance.