In a multiplex network, a set of nodes is connected by different types of interactions, each represented as a separate layer within the network. Multiplexes have emerged as a key instrument for modeling large-scale complex systems, due to the widespread coexistence of diverse interactions in social, industrial, and biological domains. This motivates the development of a rigorous and readily applicable framework for studying properties of large multiplex networks. In this article, we provide a self-contained introduction to the limit theory of dense multiplex networks, analogous to the theory of graphons (limit theory of dense graphs). As applications, we derive limiting analogues of commonly used multiplex features, such as degree distributions and clustering coefficients. We also present a range of illustrative examples, including correlated versions of Erdős-Rényi and inhomogeneous random graph models and dynamic networks. Finally, we discuss how multiplex networks fit within the broader framework of decorated graphs, and how the convergence results can be recovered from the limit theory of decorated graphs. Several future directions are outlined for further developing the multiplex limit theory.