There was a great discussion about vibrato on LEVNET recently. I've been meaning to summarize it in a "how to" page for a while. But since you asked...
One thing to keep in mind when playing vibrato is to picture the notes of the theremin as concentric circles centered on the pitch antenna and extending outwards.
If you want to achieve deep vibrato, you can use the "chicken-peck" technique - wiggling your pitch hand forward/backward towards and away from the antenna.
For more subtle vibrato, rock your hand sideways and slightly back and forth. If you just go sideways, you'll essentially be traveling at a tangent to the note-circle, and you'll only hit the specific note and go slightly below it. True vibrato involves playing on both "sides" of the intended note. So by goign both sideways and back/forth (think of it as a diagonal motion), you can hit both sides of the note and still achieve a subtle vibrato.
I know that's a lousy description and pictures would help, of course... But I hope you get the general idea.
Anyone have other tips to share?