I'm assuming he wants to use the theremin as the midi-in, not the other way around, controlling CC data with it;
what i saw on a few pages was software that will take the input of the theremin and translate the audio into a midi stream, probably only two dimensionally, pitch and volume. You can probably control the timbre also, which seems like it could be mapped to a third controller, but I have no clue.
That having been said, 'cool factor' aside, there are probably easier ways to get that sort of control for midi data using more traditional input devices like a joystick type controllers or even the mouse.
If you're looking for something just to make neat noises, Alesis had two little boxes a few years ago, the "AirSynth" and "AirFX". They're just audio, but they do theremin like effects. I have an AirFX; it's a fun little toy.
http://www.zzounds.com/item--ALEAIRFX
http://www.vintagesynth.com/misc/airsynth.shtml
And here's the obligitory youtube video