It just needs to be an insulator and prevent your fingers from touching the metal.
One halloween I draped a bedsheet over my instrument, ghost style, and it did not affect the playability at all.
Perhaps you could sew a pretty theremin cover. If you can make it look like this (http://www.facebook.com/photo.php?pid=2325940&l=843e177710&id=689181318) I would like one too.