Plans at the bottom of the page:
http://www.pavekmuseum.org/theremin/index.html
A whole site about a guy's Theremin:
http://mrr3000gt.mystarband.net/MRT/index.htm
This site sells kits:
http://paia.com/theremax.htm
My editor is really into these things. I think they sound cool, but I haven't enough time or interest to pursue that, too.