Start by carving a fun face (or other design) into your pumpkin as you normally would. Have fun with this, the spookier the better! Don't forget to cut a lid, too (and consider a notch so you remember the orientation if the lid).
When you're done decorating the front of your pumpkin, we need to add a few extra holes for our electronics.
Hold the rangefinder face down on where you want to install it on the Jack-o-Theremin. To the right of the face is a nice spot so you can watch the flash go while you play it. Use a pencil to trace around the sensor's emitters. Then, use your carving tool to carefully cut the holes.
For a foam pumpkin, I found that a hot knife attachment for my craft iron worked fairly well, but it takes patience (that I don't have!) to get a clean cut. Take your time and cut slowly and carefully.
On the other side of the pumpkin, cut a hole for the speaker to fit in. Again, holding the speaker in place, trace around it so you know where to cut. Depending on the shape of your speaker, you may want to just cut a small hole for the speaker's wires to run through, and glue the speaker securely to the outside of the pumpkin.
This hole is optional. If you prefer to not have to reach inside the pumpkin to turn your Jack-o-Theremin on and off, you may want to keep the battery holder, with the on/off switch, outside the pumpkin. If so, cut a small hole in the back of the pumpkin for the wires to run through.