Bango,
The biggest mistake that newcomers to the theremin make is to believe that they do not need to take a "formal" approach to the instrument they way they would if they were going to study a traditional instrument like the violin or the harp, and that they can figure it all out for themselves, by ear, as they go along. What happens is that they come up with ways of doing things that initially sound O.K., without realizing that what they are doing is unsustainable and eventually they hit a brick wall.
The theremin is unlike traditional instruments in that there is no established method of playing it. If you wanted to learn the cello or the concert harp, just about anyone who has been playing for a year or two could show you the basics. Not so with the theremin. Most thereminists are self-taught and no two play exactly alike.
One of the problems this has created is that with no competent teacher to oversee their progress, many budding newbies have unwittingly developed habits that later interfere with their ability to advance. This can be very discouraging and is one of the reasons why the dropout rate is so high among thereminists. While there is no "right" way or "wrong" way to play, there are approaches that will help you get where you want to go and others that will hinder you.
CARDINAL RULE: Never take any advice on how to play the theremin from anyone whose theremin playing you have not heard or do not enjoy.
That Peter Pringle guy (that's me, BTW) plays with an aerial fingering technique inspired by Clara Rockmore. I always tell newcomers to the theremin to imitate, to the best of their ability, the style and technique of the thereminist they most admire, and to keep doing it until their own musical style kicks in automatically.