Hi Dewster,
Thanks, that's a lot of info to absorb! Here I'll reply just to the one part of it that I've already studied, namely, the self-capacitance. And let me say up front that I don't actually know this from direct experience; it's only based on articles I've read and calculations I've done. So, with that caveat, I'll say that I believe the pi-wound coils have lower self-capacitance than air-wound coils. Some time ago, I found a 1938 article with a formula for the self-capacitance of an air-wound coil, which it describes as a "much more accurate formula, which is very well verified by experiment." The article is on page 249 of a collection called "Electronics for Engineers". The entire book (warning: 35 MB pdf) can be found here: http://www.tubebooks.org/Books/efe.pdfFor comparison, let's say I want to make a 10mH inductor on a 3.5" diameter form using 36 gauge wire (Tech Fixx green, since I have the specs for that). I'd need about 333 turns to get the right inductance, and according to the article the self-capacitance would be 17.5pF. In contrast, the Hammond 1535G is also 10mH and has a self-resonant frequency of 710kHz minimum. That works out to only 5.025pF of self-capacitance. I think it's so low because in a pi-wound coil the wires cross at right angles with very small regions where they're in close proximity.
Still, I'd prefer to use air-wound coils in the theremin, especially since you've pointed out the thermal problems. There's room in my cabinet for big coils, and it would look a lot cooler. Really, the main reason I used the small commercial coils at first was because I knew I was going to have to do a lot of tweaking. Once a coil has been wound, it's not that easy to change it without making a mess. Still, I'm sure I'll try it soon.
John