Hi Guys,
I have a Theremini too (and an Etherwave), and am quite new to the whole Theremin scene. I am nowhere the expert that other folks are here but perhaps my experiences are much closer to yours at this point.
First, if you are just starting, I don't care what you have, believe me you are going to have to just grit your teeth and listen critically to yourself and practice. I don't have perfect pitch and you don't need it at all as long as you have a decent ear (and I even have quite a bit of hearing loss but am still doing ok to start).
So here are my tips to start having some fun with the Theremini - take 'em or leave 'em.
Start by using Dewster's calibration suggestion. Then...
1. Make sure you set your sound to Chromatic mode to start getting used to playing a full pitch field. Sure play around with the other scale settings and sounds for fun - you can get some cool sounds. But you want to try getting used to playing in a full pitch field.
2. Set your sound to theremin or you can use one of the others too that are close to it, but again make sure to set to chromatic scale. When you change sounds the scale used changes.
3. This step is totally up to you: I set that Pitch correction knob to about 10-12 O'clock to start. You'll still get a full note range with portamento but it will start correcting pitch a bit - you might not really notice too much other than it might seem a bit easier to play to you. Or just keep it to the left if you prefer. I would just experiment here. You will quickly determine how you want to use the Pitch correction knob.
4. I recommend setting the note range a bit more compressed than the default. I tried setting mine to C2 to C5, for the theremin sound. That will give you a bit more widened field with a lower high end that you might find easier to deal with to start. You probably don't need to play a really large range yet. I have an Etherwave too and this setting kind of maps to a similar pitch field for a good portion of the range. I really started having fun playing the Theremini once I did this step (remember I'm a relative beginner too).
5. Put on some slow music and try playing along as best you can to the melody but make sure you can hear the Theremini well above the music. It's what I did to start. All I did for a couple weeks in fact to try and play in tune. If you don't have perfect pitch you might have a hard time hearing you are in tune if you play solo. But with another pitch reference it will be easier for now. I found a funny thing that happens is that your ear starts getting used to the instrument and you start playing more in tune over time as your ear adjusts (and of course you get used to the thing and get a feel for how much hand motion you need to separate notes).
6. Yes it will be hard. It might be frustrating. Don't blame lack of perfect pitch. But just try and have fun right now and not worry about trying to be a virtuoso. I can say, however, people at this site have helped me tremendously and I am sure they will help you too. There is no better resource on the topic than here that I have found.
That's my two cents. I'm no expert here yet, but I know a heck of a lot about music. Good luck on your journey! For now just try and have fun.
Rich