"I have found when running the live signal through Logic Audio's pitch correct plugin, I have better results and enjoy the experience even more." - nunucello
I'm likely in the minority, but IMO few, if any, instruments are crying out for active pitch correction more than the Theremin. But, as pitts8rh points out, external non-integrated solutions have the triple whammy of quickly and accurately detecting which pitch is being played, determining which pitch is likely desired, and somehow reconciling these two via non-intrusive-as-possible correction.
The main fly in the ointment is the lag introduced by detection. Sound travels approx. 1 foot per millisecond, and we humans can tolerate many ms of transport delay here in the feedback loop, but inertial (low pass) delay is better tolerated as it is at least immediately headed in the right direction. Pitch correction also requires an absolute reference, such as a highly responsive tuner, accompaniment, drone, or super perfect pitch sense.
It may seem paradoxical, but I imagine pitch correction can actually help to develop one's pitch sense.
Data point two, but pitch correction also very much helps me enjoy the experience of playing the Theremin. It's an integral part of my sloppy "technique" now.