Here's a very lame schematic of how I hooked it up:

and here's the code (hacked from the arduino Smoothing example):

#include <math.h>

// Define the number of samples to keep track of.  The higher the number,
// the more the readings will be smoothed, but the slower the output will
// respond to the input.  Using a #define rather than a normal variable lets
// use this value to determine the size of the readings array.

#define NUMREADINGS 3

int readings[NUMREADINGS];                // the readings from the analog input
int index = 0;                            // the index of the current reading
int total = 0;                            // the running total
int average = 0;                          // the average
int val = 0;
int inputPin = 0;
byte vol = 0;
byte status_byte = 176; // control change on channel 1
byte cc_number = 7; // value for control number = volume
int to_log[128]; // log LUT

void setup()
{
  Serial.begin(31250);   // set MIDI baud rate
  // builds a lookup table - using log sounds smoother to me...
  for (int i=0; i < 128; i++) {
     to_log[i] = (int) floor(pow((float)i/127.0, .4545) * 127); 
  }

  for (int i = 0; i < NUMREADINGS; i++)
    readings[i] = 0;                      // initialize all the readings to 0
}

void sendVolume(byte data) {
  Serial.print(status_byte); // send status byte
  Serial.print(cc_number); // send CC number
  Serial.print(data); // send data value
}

void loop()
{
  total -= readings[index];               // subtract the last reading
  readings[index] = analogRead(inputPin); // read from the sensor
  total += readings[index];               // add the reading to the total
  index = (index + 1);                    // advance to the next index
  
  if (index >= NUMREADINGS) {               // if we're at the end of the array...
    index = 0;
    if ( val != average ) {
          // ...wrap around to the beginning
      if ( average > 127 ) { average = 127; }
      sendVolume(to_log[average]);
    }
    val = average;
  }
  average = total / NUMREADINGS;          // calculate the average
 
}