Jo -- Ive played the theremin in similar bands/venues to what you are going to do, and have had a lot of the same problems as Kevin, if perhaps in a different scale/context. The 10-15 min set up time is always an issue, it helps if you can bring in the theremin and plug it in somewhere in the venue early, which is often not a problem. Once you get everything plugged in, you generally only have a minute or two to tune, while everyone else you are playing with is doing the same thing and generally being noisy. Also the tuning settings are going to be very different at each venue, and stages are generally more cramped than you think they will be, you need like at least 2' in every direction from your antenna, including, of course, in front of you. Which is the size of a drum kit. Often I have problems with band mates or the audience wandering too close to the pitch field.
A keyboard amp, pointed up at 45 degrees behind me, is usually what I have to do, but a lot of times I cant hear myself anywhere near ideally, it usually doesn't help that the people you play with play invariably softer when sound checking than they play the actual songs.
I assume, a pitch preview might mitigate some of these problems somewhat, but I have an etherwave standard, which doesn't have one. Muscle memory helps, but it is difficult as in some venues you cant have the pitch field as big as you would like, or cant get it tuned exactly, given time constraints, and general oddities. As it is probably 20% of shows I play, end up being mildly disastrous for problems, beyond that of my barely adequate skill at playing the theremin itself.
But, all in all, its frustrating, the theremin is an instrument that needs to be seen for the full effect, but is poorly suited to playing live in the sort of venues a musician starting out would likely be playing.