No shame there; in late high-school/early college I had a BIG show-tunes phase, right along with my Led Zeppelin, Miles Davis, and Pantera. . .
I haven't taped any musicals, but my experience is that your non-traditional (by traditional I mean bars, clubs, arenas) venues would never have ANY IDEA what hit 'em. The folks working there have probably never even heard of people stealthing rock concerts, much less think someone would try it there. . . If by some long shot someone saw you had some kind of gear, you could probably easily convince them that you're some kind of sports nut who can't make it through the evening without keeping up with the game play-by-play.
In fact, I once saw Phantom Of The Opera at the Fox Theatre in Atlanta when the Braves were in playoffs, and a guy sitting in front of me did have an earplug in the whole time listening to the game (tix were probably $75 back then for where we were sitting). In fact, at the curtain call, the guy who'd played the Phantom (not Michael Crawford) came out and did the "Tomahawk Chop"
Enjoy yourself. . .
Sloan