Pitch correction (no, not the effect)

I have found that changing ones thinking can improve my theremin accuracy and performance. A few duff notes can paint you into a timidity corner - timidity is not your friend.
If in a bad spell, I go out of the room - walk round a bit - go back into the music room and think really positively and play boldly and be quite bold and confident, my accuracy improves enormously.
This is especially true in recording, I find.

I suspect the "positiveness" increaces ones general alertness and the speed of correction.

"Just to complicate things further, for precision thereminists the audio setup has to be EXACTLY right. The biggest single impediment to a thereminist's playing his or her personal best is poor sound."

Which is why, in the few times I've played in public so far, I do the same thing I do when practicing at home - I wear headphones and mix what I want to hear myself.

Even playing with your own amp on stage doesn't always solve the problem, if the monitor speakers are getting a weird mix or overpowering your own amp. Using a small "hot-spot" style monitor on a stand next to your position can help.

But headphones work the best. For those who don't like the look of clamping those Sony MDRs on your head, there are always in-ear buds.

If it's a situation where a sound engineer is mixing the stage monitors, all you need is a small mixer and some headphones or ear buds. A typical mini mixer like the Behringer Eurorack or Xenix goes for about 50 bucks new. V-Moda ear buds are aboput the same, or just use any headphones.

Tell the engineer you have an in-ear monitoring set-up, and ask for a feed from the monitor send you can plug into a channel of your own mixer. Have him or her send only the OTHER instruments to your mixer, not the theremin itself. Then have him or her provide a direct box that splits your signal into a mixer send and an "amplifier" send, the same way they do it for a bass player. Put your split signal into your own mixer, then balance the rest of the band's sound with your own sound on your own mixer and headphones.

Clara Rockmore does, at times, slide to her target pitches. The technique is so well-integrated into her style that the effect is musical and one is not present to any particular struggle to play in tune. As a practical matter, an undershoot that is corrected to pitch is less-noticeable than an overshoot that is corrected back to pitch.

Upon occasion, I have practiced/warmed-up with headphones however I don't perform with them.

Behind me I have a speaker (an SRM450) that is placed at ear level about an arms length from me. This speaker contains only the dry theremin signal without fx of any kind. All FX are sent to the other speakers in my setup. My floor monitor contains everything except that live-theremin signal. I also use a pitch-preview (ear bug). The music that I play (particularly my own live-looping compositions) allows no time for pitch fishing -- I must come in on the correct pitch.

In general, any pitch-correction is done on the head of the note -- that is, at the beginning of the note when it progresses from soft to loud. Thus, I want the speaker positioned such that I will hear the note head and the listeners will not hear the note head. This is why I never mix the theremin signal with anything else -- because, if other signals mask the note head, by the time the theremin note is loud enough for me to hear (and to correct) the listeners can already hear it.