Yup, direct (DI) boxes are good too for a short term solution.
Long term, start saving for a good amp. Other than Thierry's clever mods, a decent amp is the best upgrade you can give your theremin. I got a SR Technology Jam 150+ (http://www.srtechnology.co.uk/jam_and_pocket_series/jam_series.html). Not sure about availability in the States - it's an Italian product - but here's the skinny so you can look for similar...
It's designed primarily for a singer-songwriter - someone working the pubs and clubs with their voice, an acoustic instrument and maybe a prerecorded backing track. It has enough oomph to fill a small to medium room, a little speaker for the high notes and a big speaker for the low notes, an on-board mixer and it doesn't distort like a guitar amp - it's probably as transparent a sound as you'll find in its price range. I have heard nothing but favourable comments about the sound quality from other musicians. I got mine on the strength of hearing Chris Conway theremining with one, and a couple of other thereminists have bought one on the strength of hearing mine.
Also it comes with a sensible selection of preset reverbs and can be stood on a speaker stand (the jargon is a "top hat mount"), which is a good idea for a thereminist. It is a fairly compact box but quite heavy - I carry mine single handed, but just from my car to the stage, no further.
But, do arrange with your local music shop to visit at a quiet time and try your instrument on a variety of amps. It's the best way. Get over your nerves - when it comes to theremins the general public are easily impressed. ;-)
(Note: even with my Jam 150+ I still attenuate the signal - Thierry added a pot to my etherwave for just that purpose - not so much for the amp but for the chain of guitar effects pedals I use.)