Hi, and welcome!
For ideas on Theremin technique you can check the "technique" forums here. The opportunity to watch people play the Theremin would be extremely valuable, too.
You can't go wrong with Peter Pringle's DVD regardless of your chosen genre. On Ebay you can usually find the Clara Rockmore video and is very exciting to watch. Elsewhere on Theremin world, you can find links to videos of various Thereminists and you can see their techniques. The technique that you emulate depends on the music you wish to play. If you want to play notes and melodies in the traditional sense, then you will need to cultivate a precision Theremin-playing technique. If you are more into free-form, experimental, etc... then your need for precision techniques will not likely be as great.
As far as recording, there is a great piece of free software (you can download) called "Audacity" that will allow you to record from your computer's internal soundcard. (It may support USB devices, too... perhaps someone can jump in with some info). You will be able to achieve better quality with a converter... you plug your instrument cable into the converter and the converter plugs into your computer via USB or Firewire. Also, if you purchase a converter, it likely will come with some basic "Lite" recording software that may meet your needs.
Your computer's built-in inputs and outputs are OK for starters however you will want something better if you want to approach CD or broadcast quality recording.
May your Theremin playing bring you much fulfillment. Good luck!
-- Kevin K
