It helps to watch thereminists who are playing at least to the standard to which you aspire. The video of Clara Rockmore was very helpful to me personally. Though I will not play the same repertoire as Rockmore I strive to play to a high standard.
While instructional DVDs may be helpful, the problem with them is that everyone has different goals, abilities, and learning styles.
If I were to teach theremin (or music in-general) I would want to know something about the student: do you play another instrument, can you read music, have you had ear-training, what do you plan to do with the theremin (i.e., play for own enjoyment, play in a band, play classical-style with an orchestra, use it as a controller for electronic instruments, use it for performance-art, use it for sci-fi effects)? A DVD can't do that and that is an inherent limitation.
To find theremin teachers is difficult. Thus, most of us are self-taught.
Onward through the fog!