Hi, Fred. :-)
Coalport wrote:
"The problem with headphones is that unless you have some sort of stereo console to use them with, the sound you get will be "dead". You need something that can give you the acoustic feel of a room or hall. "
Agreed, headphones are not ideal, but then again shops are seldom designed for their acoustic properties. Certainly not my local effects pedal store, which is tiny and stacked to the rafters with gear, as illustrated by this promotional video.
What headphones do give is constancy - the theremin will sound the same through them wherever you are, so you can familiarise yourself with the basic sound of the theremin through headphones at home, so that you have a baseline for comparisons.
Having a decent reverb in the effects chain helps a bit.