Yes, though (for obvious reasons) the act itself is never shown on-screen, Ramsay quite definitively gelded Theon.
The scene begins with Theon being seduced by two of Ramsay's women, but only as part of Ramsay's torture plans. They make repeated comments about how well-endowed Theon is rumored to be. Once Ramsay comes in, he surmises that Theon's manhood is the part of his body he most treasures. He then pulls out a knife, and two men hold Theon down while Ramsay cuts him. (The knife is a gelding knife, the kind used to geld horses and, presumably, eunuchs.)
Later, Ramsay sends a package to Theon's family to show what's been done to Theon. Again, we never see the contents, but it's very strongly implied that it's Theon's castrated member in the box.
This is one case where the show is actually being more graphic than the novel. Ramsay's torture of Theon is revealed mostly through flashbacks much later, and not in as graphic detail. The piece of Theon that Ramsay sent to the Greyjoys is just described as a "piece of his flesh". The only indication in the novels we have about the castration, as @MikeyMouse points out, is when Theon admits that he can't have sex with Jeyne in front of Ramsay because he lacks the equipment.