An external amplifier and speaker or headphones connect to the 1/4" phone jack (socket) that is the Theremax audio output (-10dBV nominal line-level) for getting sound.
You might already have a portable stereo system that has a CD or Line input connectors. Theremax can be connected here with the appropriate connecting cable. The Theremax output connection is via 1/4" phone plug to its 1/4" phone jack. At the other end of the cable you would need to match the connector on the stereo. This might be a 1/8", stereo or trs (tip ring sleeve) jack or a set of left and right RCA jacks. A 1/4" stereo phone plug to 1/8" mini-phone plug cable or a 1/4" stereo phone plug to left and right RCA phono plug cable can be used to make the connections to inputs like these. The sound will only be from the left or right speaker though. A cable could be made that attaches the single tip of a mono ts (tip sleeve) plug to both the left and right terminals of a trs plug or over separate wires to left and right rca plugs (and with the sleeve terminal connected to the sleeve terminal (or rca shell) so the sound would be from both speakers.
A "powered-speaker" has an on-board amplifier and requires batteries, a line-cord connection to a wall-outlet, or, a wall-mounted power source. These have line-level inputs and can be connected to the Theremax output with the appropriate connecting cable.
A keyboard instrument amp can be used. A guitar amp can be used. Some amps even have built-in reverb or digital effects units for reverb, echo, and chorus, which enhance the sound of the theremin.
RadioShack once offered a powered-speaker but I don't think it's in their product line anymore. It was a black plastic box with an input connector and a knob/switch for volume and on/off control. It was about $20. Maybe some stores will still have these on their shelves.
We have some audio amp kits in the building block series of kits in case you'd like to make your own:http://www.paia.com/KRU_kits.asp