Book 5 spoilers* I think it's most heavily implied in the scene where Ramsay asks Theon to "prepare" his new bride for sex, and Theon says something like "I can't, my lord. I don't have a-" and Ramsay tells him "No, with your mouth."
Also, GRRM himself wrote the episode where Theon gets castrated. I don't think he would have written it into the show if he hadn't meant for it to be in the books.