Making a Theremin is much easier than you could guess. It requires only a couple of materials that you can easily find, and it doesn't cost much, either.

Materials:

Arduino Uno
Breadboard
Speaker
Wire
10 K Ohm Resistor
Photocell
USB Cord for the Arduino
Power Source

Small Pillow
Needle
Thread
Scissors

Step 1: Assembling the Wires and Parts

The image is exactly how the wires should be placed and connected to the arduino. If you don't have a pair of headphones that you are willing to part with, you can use a small speaker. So that mine could be louder, I decided to go with the speaker.

Step 2: Coding

The coding is simple, because it is already done.
The most important thing is to make sure that the coding and the wires match. According to the code, the speaker should be set in the Ardunio to pin 9, so if it isn't going there, no sound will come out.