I have used the older Korg PX3 with a theremin. So my story only sorta relates. Overall it is pretty good, but I do have two complaints.
First, it is very small, somewhere between a pack of ciggarettes and a paperback book. This is probably meant as a feature (being able to be stuffed in a pocket or in an instrument case) but I found it to be a nusiance. The unit gets flopped around a lot. The input/output cables are a significant mass/weight compared to the unit. Brush the cable and the whole unit gets dragged around. Cables are heavy enogh to pull it off the table.
Second, this may be significantly different from the PX5, but the PX3 was a little difficult to program (change parameters, change settings) with just a little rotary wheel, a few arrow keys, and a tiny LCD screen.
Also it EATS batteries like popcorn at a movie. This is easily remedied with a wall wart though.
I don't know about the PX5. It looks like it may also be akwardly small and light and likely to blow away in a breeze. It is two generations past my PX3, and looks like it has more buttons... and maybe a USB connector?
I have also used a Digitech RP350. The current model is RP355 and costs around $200. I bought it a few years ago to use as a guitar amp simulator/DI-box when playing guitar in churches that allowed nearly zero stage volume and pushed for me to plug direct into the PA. The RP350 was a little nicer than the PX3 in a number of ways.
It is heavier than a patch cord! It is a larger floor mounted unit that is not easy to kick around by accident. But it is also small enough that it fits nicely into a second-hand-store laptop computer bag.
It has an expression pedal that can be used as a volume pedal, wah pedal, or as a live adjuster to any parameter you assign it to.
It is its own Direct box. It has both 1/4" ouputs and XLR-3 outputs. It can be plugged in directly to a PA through a normal microphone cable / snake. With the 1/4" TS output and the XLR3 you can send the signal to multiple places at the same time. I used one to the PA and one to a powered monitor at my feet.
It is a little easier to adjust parameters live. It has a number of knobs and two up/down pedals.
It is WAAAAY easier to set up and adjust parameters using a USB connection and a PC. Digitech has a software that is much more intuative than a few knobs and buttons on the panel. It has a decent GUI that has virtual rotary knobs that are much more intuative to use and similar to using a regular single guitar effect pedal with pots and knobs. This is something you would work out at home, store the settings and a pre-set, and then call up your pre-sets by tapping the arrow pedals up or down during a live performance.
A digitech effect I have not tried with theremen, but might be interesting, is the Whammy (or some other octaver). It is a pitch shifter. I imagine it could be used to expand the range of a theremin by shifting the signal up or down an octave. You could perhaps fake a bass theremin!
http://www.musiciansfriend.com/amplifiers-effects/digitech-rp355-guitar-multi-effects-pedal
One I have not used is the Line-6 Pod. It has been very popular for over a decade. They are kinda goofy looking kidney bean shaped things, but they look like they may be easy/intuative to operate as they have multiple adjustment knobs and rotary switches. (really that old PX3 with the up/down/select menu system was kinda a pain, knobs and switches are great)
http://www.musiciansfriend.com/amplifiers-effects/line-6-pod-2.0-guitar-multi-effects-processor/150448000000000
Another manufacturer of multieffects is Zoom
Most of these multi-effects units are made for electric guitar. A lot of guitarists swear by them, others think it is best to buy the indivdual effect pedals you want and daisy chain them in line on a large pedal board. I can see both sides and have both multi-effects units, and multiple individual units. The individual effects boxes may be higher quality and have greater range of adjustment, and they are easier to tweek. They are also easier to accidently have them tweeked off your favorite setting, they are expensive, and if you use many your pedal board gets huge and klonky. The PX5, RP355, and Pod 2.0 are all around $200. Any single effect pedal (flanger, chorus, reverb, delay, tremelo, wah...) could individually cost anywhere between $80 and $200. It would be easy to build up a pedal board and have a $600 hole in your pocket. Multi effect units are pretty cost effective, a decent bang for the buck, even if you just want to add some delay and never intend to simulate a theremin plugged into a TS808 tube screamer with a MXR flanger going into a Soldano SLO 100 (which I do believe will go to 11). They are also pretty nice if you want to figure out all your tones, and set them as presets that you can call up at a tap of the foot, and not have to noodle with them when performing live. You just solidly switch from one voice to the other. They are also an exellent way to introduce yourself to a lot of various effects without dropping a lot of money.
EDIT:
Also a neat feature of these is that they also work as headphone amps and they have aux inputs for an MP3 player (or tape, CD, whatever...) so you can practice silently while mixing in an accompaniment, or music you are trying to figure out. Both the Korg and Digitech units have built in drum machines too. Some units are also USB digital audio interfaces, so you can record to a PC direct without a microphone or amplifier.