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sage: theta = function('theta')(x)
sage: y = sin(theta)
sage: y.diff(x)
cos(theta(x))*D[0](theta)(x)
sage: theta = function('theta')(x)
sage: y = sin(theta)
sage: y.diff(x)
cos(theta(x))*D[0](theta)(x)

D is the differential operator, see https://en.wikipedia.org/wiki/Differential_operator. The online Sage docs are a bit behind the newest development version, so I cannot give you a link to Sage docs at the moment.