Has anyone experience with both modules working together? Especially when it comes to different style-sheets for different devices.
The two work well together (Does ThemeKey supports Boost caching) with the caveat:
ThemeKey supports page caching and external caches like boost - if the page is cachable.
If you switch a theme depending on the user's browser, the page isn't globally cachable at all, because other users are using different browsers! That's not a ThemeKey issue.